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c.) Estimating Cost of Carry Factors from Market Data (spreadsheet tab Carry Analyis) Input information Given the following data: Assume the date is Thursday, January
c.) Estimating Cost of Carry Factors from Market Data (spreadsheet tab "Carry Analyis") Input information Given the following data: Assume the date is Thursday, January 31, 2020 S&P500 spot = 3,283.66 [SPX INDEX], the index has a dividend yield of 1.81% (compound continuously) S&P500 March 2020 Futures = 3289.75 (maturity 3/20/20) [ESHO INDEX] S&P500 June 2020 Futures = 3,290.00 (maturity 6/19/20) [ESMO INDEX] S&P500 Sept 2020 Futures = 3,289.25 (maturity 9/18/20) [ESUO INDEX] Output Calculate the implied interest rate for the futures contracts relative to the spot value of the S&P500. Use the continuous time formulation for valuing commodity forwards/futures to calculate your answer. Assume the year has 365 days. 2 Date 1/31/2019 4 S&P500 div yield 5 SPX 6 ESHO 7 ESMO 8 ESUO 1.81% 3,283.66 3,289.75 3,290.00 3,289.25 Implied Interest Maturity Rate 1/31/2020 3/20/2020 6/19/2020 9/18/2020 10
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