Compute the initial price of a futures contract on the same ZCB. The futures contract has an
Fantastic news! We've Found the answer you've been seeking!
Question:
Compute the initial price of a futures contract on the same ZCB. The futures contract has an expiration of t = 4
Transcribed Image Text:
Ten Year Zero-Coupon Bond 2 3 10 10 100 9. 89.45 100 81.58 91.20 100 75.68 79.46 84.53 92.69 100 6. 71.26 87.06 93.93 100 67.97 75.62 82.74 89.22 94.98 100 65.56 72.74 79.45 85.57 91.05 95.86 100 3. 63.84 70.62 76.95 82.76 87.97 92.58 96.58 100 2 62.68 69.10 75.10 80.62 83.78 86.47 85.59 88.01 90.01 93.87 97.19 100 61.97 68.07 73.78 79.03 91.72 94.94 97.69 100 61.62 67.44 72.88 77.89 82.42 90.05 93.16 95.83 98.10 100 Short-Rate Lattice 2 3 4 8 10 10 12.97% 9. 11.79% 10.61% 10.72% 9.65% 8.68% 7 9.74% 8.77% 7.89% 7.10% 8.86% 7.97% 7.17% 6.46% 5.81% 8.05% 7.25% 6.52% 5.87% 5.28% 4.75% 4 7.32% 6.59% 5.93% 5.34% 4.80% 4.32% 3.89% 3 6.66% 5.99% 5.39% 4.85% 4.37% 3.93% 3.54% 3.18% 2 6.05% 5.45% 4.90% 4.41% 3.97% 3.57% 3.22% 2.89% 2.60% 5.50% 4.95% 4.46% 4.01% 3.61% 3.25% 2.92% 2.63% 2.37% 2.13% 5.00% 4.50% 4.05% 3.65% 3.28% 2.95% 2.66% 2.39% 2.15% 1.94% 1.74% A Bond Future Coupon 10.0% Maturity 4 1 3 4 4 104.83 3 106.09 107.36 2 107.26 108.43 109.50 108.34 109.41 110.40 111.30 109.33 110.32 111.23 112.05 112.81 Ten Year Zero-Coupon Bond 2 3 10 10 100 9. 89.45 100 81.58 91.20 100 75.68 79.46 84.53 92.69 100 6. 71.26 87.06 93.93 100 67.97 75.62 82.74 89.22 94.98 100 65.56 72.74 79.45 85.57 91.05 95.86 100 3. 63.84 70.62 76.95 82.76 87.97 92.58 96.58 100 2 62.68 69.10 75.10 80.62 83.78 86.47 85.59 88.01 90.01 93.87 97.19 100 61.97 68.07 73.78 79.03 91.72 94.94 97.69 100 61.62 67.44 72.88 77.89 82.42 90.05 93.16 95.83 98.10 100 Short-Rate Lattice 2 3 4 8 10 10 12.97% 9. 11.79% 10.61% 10.72% 9.65% 8.68% 7 9.74% 8.77% 7.89% 7.10% 8.86% 7.97% 7.17% 6.46% 5.81% 8.05% 7.25% 6.52% 5.87% 5.28% 4.75% 4 7.32% 6.59% 5.93% 5.34% 4.80% 4.32% 3.89% 3 6.66% 5.99% 5.39% 4.85% 4.37% 3.93% 3.54% 3.18% 2 6.05% 5.45% 4.90% 4.41% 3.97% 3.57% 3.22% 2.89% 2.60% 5.50% 4.95% 4.46% 4.01% 3.61% 3.25% 2.92% 2.63% 2.37% 2.13% 5.00% 4.50% 4.05% 3.65% 3.28% 2.95% 2.66% 2.39% 2.15% 1.94% 1.74% A Bond Future Coupon 10.0% Maturity 4 1 3 4 4 104.83 3 106.09 107.36 2 107.26 108.43 109.50 108.34 109.41 110.40 111.30 109.33 110.32 111.23 112.05 112.81
Expert Answer:
Related Book For
Posted Date:
Students also viewed these finance questions
-
The multiplier for a futures contract on a stock market index is $250. The maturity of the contract is 1 year, the current level of the index is 1,300, and the risk-free interest rate is .5% per...
-
The multiplier for a futures contract on the stock-market index is $250. The maturity of the contract is one year, the current level of the index is 2,000, and the risk-free interest rate is .5% per...
-
The multiplier for a futures contract on a certain stock market index is $250. The maturity of the contract is one year, the current level of the index is 1,000, and the risk free interest rate is...
-
MW Canada developed a 90-hour technical training program that was delivered over two months. Because it enabled the loom mechanics to act more independently with less downtime if the total cost was...
-
Steam is compressed by an adiabatic compressor from 0.2 MPa and 150oC to 0.8 MPa and 350C at a rate of 1.30 kg/s. The power input to the compressor is (a) 511 kW (b) 393 kW (c) 302 kW (d) 717 kW (e)...
-
Gem Stone Inc (GSI) currently generates perpetual EBIT of $50,000,000 per year. The firm is currently unlevered and there are 7,500,000 shares outstanding. The cost of equity is 12%. The firm will...
-
Give an example of end-user computing (EUC).
-
The internal control procedures in Naperville Company provide that: 1. Employees who have physical custody of assets do not have access to the accounting records. 2. Each month, the assets on hand...
-
The company issues 7.5%, 10-year bonds with a total face amount of $1,000,000 with interest paid semi-annually. The market rate of interest is 7.4%. n % PV PVA 10 7.40% 0.489731 6.895533 10 7.50%...
-
Company A is a global company based in the United States that operates in the financial industry. Company A serves its customers with financial products, such as checking accounts, bank cards, and...
-
Explain the specific strategies businesses use to mine new customers and gain competitive advantage through social media. What privacy issues emerge when you review these techniques? As an IT...
-
True or False. The governing equation of a continuous system is an ordinary differential equation.
-
Among the tools the auditor may employ to determine the reasonableness of the sales amount for a company during a given accounting period is regression analysis, whereby the company's sales are...
-
When the axial force approaches the Euler buckling load, the fundamental frequency of the beam reaches a. infinity b. the frequency of a taut string c. zero
-
After obtaining an understanding of a client's controls, an auditor may decide to omit tests of the controls. Which of the following is not an appropriate reason to omit tests of controls? a. The...
-
How many natural frequencies does a continuous system have?
-
Coupon rates. What are the coupon rates for the following bonds, ? Hint: Make sure to round all intermediate calculations to at least six decimal places. a. What is the coupon rate for the following...
-
Gordon and Lisa estimate that they will need $1,875,000 in 40 years for their retirement years. If they can earn 8 percent annually on their funds, how much do they need to save annually?
-
An analyst estimates that a stock has the following probabilities of return depending on the state of the economy: What is the expected return of thestock? State of Economy Good Normal Poor...
-
Investors expect the market rate of return in the coming year to be 12%. The T-bill rate is 4%. Changing Fortunes Industries stock has a beta of .5. The market value of its outstanding equity is $100...
-
Recalculate the value of the call option in Problem 11, successively substituting one of the changes below while keeping the other parameters as in Problem 11: a. Time to expiration = 3 months. b....
-
Define and explain diminishing marginal utility.
-
Can we make interpersonal utility comparisons?
-
What is utility?
Study smarter with the SolutionInn App