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Problem 22-14 The multiplier for a futures contract on a stock market index is $80. The maturity of the contract is 1 year, the current
Problem 22-14 The multiplier for a futures contract on a stock market index is $80. The maturity of the contract is 1 year, the current level of the index is 1,860, and the risk-free interest rate is 0.4% per month. The dividend yield on the index is 0.1% per month. Suppose that after 1 month, the stock index is at 1,880. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Cash flow b. Find the holding-period return if the initial margin on the contract is $5,600. (Round your answer to 2 decimal places.) Holding period return %
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