#7 Consider a 160-day forward contract on an asset priced at $135. The asset generates cash flows of $1.50 in 40 days and $1.75 in 120 days. It incurs storage costs of $1.25 in 60 and 120 days, that is, every 60 September 3, 201911:14Financial Risk Management9.61in x 6.69inb3590-ch08page 439Managing Market Risk with Forward and Futures Contracts439days. The future value of the convenience yield is found to be $2.87. The risk-free rate is 3.55%. Find the forward price.

#11 Consider a $20 million notional forward contract established today at a price of $452.50. The contract expires in 250 days. Now we move forward100 days. The price of a new forward contract is $452.19. The risk-free rate is 1.75%. Find the value of the contract to the long.

#13 Suppose you are a currency trader in South Korea. The exchange rate for the Korean won relative to the U.S. dollar is 1,114.95. This figure isKorean won (KRW) per U.S. dollar (USD). Assume the Korean annually compounded risk-free rate is 1.5%, while the U. S. rate is 0.5%. Find the forward rate in KRW for a six-month contract.

#14 A U.S. trader enters into a long one-year forward contract on the Russian ruble at a rate of $0.0161. Now, three months later, the forward price of a ruble expiring at the same time is $0.0166. The U.S. interest rate is 0.65%, and the contract notional is $30 million. Find the value of the contract.

#17 Find the fixed rate on a 120-day FRA on 90-day LIBOR given the following information: 120-day LIBOR is 4.26% and 210-day LIBOR is 4.74%.

#23 Consider a Danish company that has a substantial operation in the U.S.and receives cash flows in U.S. dollars. It anticipates the receipt of $100million in one year. The current forward rate for its current, the Danish krone (DKK), is 6.6814 per USD. Explain how it would use a forward foreign currency hedge to eliminate the exchange rate risk.

#24 A Peruvian company buys raw materials from a European company and pays in euros. It anticipates that in six months it will buy 20 million units of the material and will pay a price of2.55 per unit. The current six-month forward exchange rate is that one Peruvian sol = 0.2621 euros. Explain the risk faced by the Peruvian company and how it can hedge that risk.

#30 Consider a stock index at 1,422.15 that is expected to pay a dividend of$3.40 in 10 days and in 100 days. (a) Find the price of a futures contract on the index that expires in 120 days. The risk-free rate is 2.88%.(b) Find the price if instead the dividend is quoted as a continuously compounded yield of 1%.