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11. Suppose on a certain day, you notice the following quotes. = RM 980 per ton CPO spot price Risk-free rate = 6% per year
11. Suppose on a certain day, you notice the following quotes. = RM 980 per ton CPO spot price Risk-free rate = 6% per year Annual storage cost = 4% per year (RM 39.20 per ton) 3-month CPO futures = RM 1,013.63 (90 days to maturity) a. Is arbitrage possible? (5 marks) b. If so, how would you arbitrage? (20 marks) c. Suppose the price at maturity is RM 1,015, what would your profit be if you are willing to invest in 50 tons? (15 marks)
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