1. A long forward contract on a non-dividend-paying stock was entered into some time ago. It currently...
Question:
1. A long forward contract on a non-dividend-paying stock was entered into some time ago. It currently has 7 months to maturity. The risk-free rate with continuous compounding is 5.2% per annum, the stock price is $36.68 and the delivery price is $30. Calculate the value of the forward contract? 2.An interest rate is 12.06% per annum expressed with continuous compounding. What is the equivalent rate with semiannual compounding? (margin of error: +/- 0.01%) 3.A bank wants to lock in the 3-month interest rate starting between 6/20/2017 and 9/20/2017. Currently, 6/2017 Eurodollar futures price is 97.64 and 9/2017 Eurodollar futures price is 97.55. What is the lock in 3-month interest rate between 6/2017 and 9/2017? (margin of error: +/- 0.01% 4.On 2/15/2015, a 3-year forward contract, expiring 2/15/2018, on a non-dividend-paying stock was entered into when the stock price was $135 and the risk-free interest rate was 9.8% per annum with continuous compounding. 1 year later, on 2/15/2016, the stock price becomes $145. What is the "delivery" price of the forward contract entered into on 2/15/2015? 5.Calculate the present value of $100 in 7 years using 9.7% interest rate with continuous compounding.