Exhibit 21.10
Use the Information Below for the Following Problem(S)
The S&P 500 stock index is at 1300. The annualized interest rate is 4.0% and the annualized dividend is 2%. You are currently considering purchasing a 2-month futures contract for your portfolio.
-Refer to Exhibit 21.10.Calculate the current price of the futures contract.
A) 1295.66
B) 1304.34
C) 1342.75
D) 1379.29
E) 1393.49

Question

Quizplus · Accepted Answer

$$\begin{aligned}
F ( 0 , T ) & = 1300 + 1300 ( 4 \% / ( 360 / 60 ) - 2 \% / ( 360 / 60 ) ) \
& = 1300 + 1300 ( 00667 - .00333 ) = 1304.34
\end{aligned}$$

Exhibit 21.10 Use the Information Below for the Following Problem(S)