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You hold a well diversified parcel of shares and wish to sell the portfolio in exactly 1 2 months time. To protect the value of
You hold a well diversified parcel of shares and wish to sell the portfolio in exactly months time. To protect the value of your portfolio you decide to sell SFE SPI Equity Index Futures contracts. Given the futures price formula below and the data in the box on the right, calculate the futures price. Give your answers in dollars and cents to the nearest cent.
F S PVD rt
Futures price $ Spot value of your parcel of shares $
Dividends expected in exactly months $
Risk free rate for next months pa
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