Futures on Consumption Assets
About the Lecture
The lecture Futures on Consumption Assets by Edu Pristine is from the course Archiv - Financial Markets and Products. It contains the following chapters:
- Example
- Futures on Consumption Assets
- The Cost of Carry
Author of lecture Futures on Consumption Assets
Edu Pristine
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Excerpts from the accompanying material
... forward rate of a 3-month EUR/USD foreign exchange contract is 1.1565 USD ...
... A European bank pays a 1.5% ann ual interest rate for a 1-year deposit and a 2.0% annual interest rate for a 3-year EUR de posit. ..
... in US = [(1.04) 3 / 1.024] – 1 = 4.81%. The 2 year forward rate in Europe ...
... GBP cur rency exchange rate is 1GBP = 0.75 French Franc. What is the two-year forward price of one unit of t he GBP ...
... for the USD50,000,000 is 4.5%. The bank lends 50% of the as sets to domestic customers at an average loan rate of 6.25%. The rest of the portfolio is ...
... contract: GBP 16,291,108*1 .58 = USD 25,739,951 Earnings (USD 25,739,951 – 25,000,000) / 25,000,000 = ...
... Current spot CHF/USD rate: 1.3680 (CHF1.3680 = USD1) 3-month USD interest rates: 1.05% ; 3-month ...
... 0.7310 * exp((-0.0035)*0.25) = USD 0.73 04 for 3 months. Buy spot exp((-0.0035)*0.25) = CHF0.9991, invest at 0.35% for 3 months. Short a futures contract on CHF1 At maturity, Pay back 0.7304 * exp((0.0105) * 0.25) = USD 0.7323 Receive 0.9991 * exp((0.0035) * 0.25) ...
... F0 S 0e(r+u)T -Where u is the storage cost per unit time as a ...
... ound per month. A 3 month futures contract for cotton is trading at $0.3368 per pound . Is there an arbitrage ...
... The Forward price = 0.325e0.03*0.25 + (0.002+ 0.002*1.0025+ 0.002*1.0025^2) = 0.3335; ...
... the commodity is 5%. The appropriate continuously compounding annual risk - free rate ...
... of carry, c, is the storage cost plus the interest costs less the income earned For an investment asset ...
... Spot rate is given in USD/INR terms, then take American Risk-free rate as the first rate. In other words, individual who is interested in USD/INR rates, would be an ...
... USD per EUR. USD LIBOR is 4% and EUR LIBOR is 2%. ...
... 1.200 USD per EUR. An American bank pays 2.4% annual interest rate on a 1-year deposit and a 4.0% annual interest rate on a 3-year ...
... = √[(1.02) 3 / 1.015] – 1 = 2.25% The forward exchange rate in USD per EUR for ...
... 8% per annum, continuously compounded . The two-year risk-free rate in France is 5% per annum, continuously compounded. The current French Franc to the GBP ...
... lent to UK clients at 7%. The current exchange rate is USD1.642/GBP. At the same time, the bank sells a forward contract equal to the expected receipts one year ...
... from UK customers, $25,000,000/1.642 = GBP 15,225,335* 1.07 = GBP 16,291,108. The bank sells a ...
... 3-month Swiss interest rates: 0.35%. A currency trader notices that the 3-month forward price ...
... 0.7310. The theoretical futures price = 0.7310 * exp((0.0105 – 0.0035) * 0.25) = 0.7323. Therefore, the quoted futures price is too high. Thus, one should sell the overvalued CHF futures contract. In order to arbitrage, one would do the following: Borrow USD 0.7310 ...
... percent of the asset value. Alternatively, F 0≤ (S 0 + U )e ...
... is $0.325 per pound. The annual risk-free rate is 3.0%, and the cost to store and insure cotton is $0.002 per ...
... Yes, the investor should sell the futures contract, borrow ...
... The spot rate for a commodity is $19. The annual lease rate ...
