Question $10$

Assume you have a portfolio of forward contracts entered into some time ago. You are required to value

the portfolio of contracts at $30$ June $2023.$ The details of each position are summarised below

Assume

a continuously compounded risk$-$free rate of $8\%$ p$.$a with a flat term structure

the time to expiration for each contract to the nearest month, i$.$e you do not need to take into

account the number of days to expiration. For example, the September $2023$ oil contract has a

time to maturity of $3$ months.

The value of the portfolio at $30$ June $2023($to the nearest $$)$ is

a$)$ $$100,000$ asset

b$)$ $$100,000$ liability

c$)$ $$93,148$ asset

d$)$ $$92,420$ liability

e$)$ None of the above