Question
1)Suppose the 180-day S&P 500 futures price is 1,406.27, while the cash price is 1,392.91. What is the implied dividend yield on the S&P 500
1)Suppose the 180-day S&P 500 futures price is 1,406.27, while the cash price is 1,392.91. What is the implied dividend yield on the S&P 500 if the risk-free interest rate is 5.4 percent?
2)Suppose you want to hedge a $160 million bond portfolio with a duration of 5.1 years using 10-year Treasury note futures with a duration of 6.6 years, a futures price of 105, and 6 months to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell? (Do not round intermediate calculations. Round your answer to the nearest whole number.) |
Contracts | (Click to select)to buyto sell ( ) |
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