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3. Consider the closing prices for CAD-USD futures traded on the Chicago Mercantile Ex- change (CME) which can be found http://ca. investing.com/quotes/canadian-dollar for March 31,
3. Consider the closing prices for CAD-USD futures traded on the Chicago Mercantile Ex- change (CME) which can be found http://ca. investing.com/quotes/canadian-dollar for March 31, 2017. In particular, consider the futures contract that matures in March 2019 and the one that matures in March 2020. (a) Verify for both futures contracts that the interest rate parity for pricing the future holds approximately. Hint: To find information on interest rates for March 31, 2017 for CAD and USD investments, use the same website (b) at is the cost of carry for these futures? (c) What can you say about how the two future prices are related? 3. Consider the closing prices for CAD-USD futures traded on the Chicago Mercantile Ex- change (CME) which can be found http://ca. investing.com/quotes/canadian-dollar for March 31, 2017. In particular, consider the futures contract that matures in March 2019 and the one that matures in March 2020. (a) Verify for both futures contracts that the interest rate parity for pricing the future holds approximately. Hint: To find information on interest rates for March 31, 2017 for CAD and USD investments, use the same website (b) at is the cost of carry for these futures? (c) What can you say about how the two future prices are related
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