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a. The maturity of a futures contract on a stock market index is 4 months. The multiplier for the futures contract $250. The current level
a. The maturity of a futures contract on a stock market index is 4 months. The multiplier for the futures contract $250. The current level of the index is 32,000 . The risk-free rate is 0.6% per month and dividend yield on the stock market index is 0.3% per month. The initial margin requirement is 10%. i. What is the parity value of the futures price now? ( 3 marks) ii. Assume the futures contract is fairly priced. How much initial margin you need to deposit if you long 5 contracts? ( 2 marks) iii. Calculate the one-month holding-period return for your long position in the futures contract if the stock market index increases to 33,000 one month later. Assume the futures contract keeps being priced fairly
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