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a) Consider the following prices for silver futures. Assume the annualized continuously compounded risk free rate is 1%. Suppose James would like to lock in

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a) Consider the following prices for silver futures. Assume the annualized continuously compounded risk free rate is 1%. Suppose James would like to lock in a purchase price for silver in March, May, July and October in 2022. What would the swap price be? Assume the March 2022 delivery date is 4 months from now and the delivery date for all contracts fall on the same calendar day of each month. (10 marks) Delivery Date Futures Price Mar '22 418.20 425.00 May 22 July 22 440.00 Oct 22 447.00 a) Consider the following prices for silver futures. Assume the annualized continuously compounded risk free rate is 1%. Suppose James would like to lock in a purchase price for silver in March, May, July and October in 2022. What would the swap price be? Assume the March 2022 delivery date is 4 months from now and the delivery date for all contracts fall on the same calendar day of each month. (10 marks) Delivery Date Futures Price Mar '22 418.20 425.00 May 22 July 22 440.00 Oct 22 447.00

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