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The multiplier for a futures contract on the stock - market index is $ 5 0 . The maturity of the contract is one year,
The multiplier for a futures contract on the stockmarket index is $ The maturity of the contract is one year, the current level of the index is and the riskfree interest rate is per month. The dividend yield on the index is per month. Suppose that after one month, the stock index is at
Required:
a Find the cash flow from the marktomarket proceeds on the contract. Assume that the parity condition always holds exactly. Do not round intermediate calculations. Round your answer to decimal places.
b Find the onemonth holdingperiod return if the initial margin on the contract is $Do not round intermediate calculations. Round your answer to decimal places.
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