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describe two problems in using the black option on futures pricing model for pricing options on eurodollar futures
assume that there is a forward market for a commodity the forward price of the commodity is 45 the contract expires in
explain the relationship between carry arbitrage and the implied repo rate define the conversion factor why are us
explain the implied repo rate on a us treasury bond futures spread position identify two ways to express interest rate
explain how the repurchase agreement plays a role in the pricing of futures contracts what is the implied repo rate
use the following data from january 31 of a particular year for a group of march 480 options on futures contracts to
on september 12 a stock index futures contract was at 42370 the december 400 call was at 2625 and the put was at 325
suppose there is a commodity in which the expected future spot price is 60 to induce investors to buy futures contracts
on september 26 the spot price of wheat was 35225 per bushel and the price of a december wheat futures was 364 per
on a particular day the september sampp 500 stock index futures was priced at 96050 the sampp 500 index was at 95649
assume a standard deviation of 8 percent and use the black model to determine if the call option in problem 18 is
1 identify and define three versions of put-call parity2using the black-scholes-merton option pricing model and the
concept problem suppose that there is a futures contract on a portfolio of stocks that currently are worth 100 the
a corporate cash manager who often invests her firms excess cash in the eurodollar market is considering the
on september 26 of a particular year the march treasury bond futures contract settlement price was 94-22 compare the
on january 31 a firm learns that it will have additional funds available on may 31 it will use the funds to purchase
on july 1 a portfolio manager holds 1 million face value of treasury bonds the 11 14s maturing in about 29 years the
auctionsbullthe us government currently auctions several treasury securities to finance the public debt including bills
on march 16 the june t-bond futures contract was priced at 100 1732 and the september contract was at 99 1732 determine
on september 12 the cheapest-to-deliver bond on the december treasury bond futures contract is the 9s of november 2018
on august 20 a stock index futures which expires on september 20 was priced at 42970 the index was at 42851 the
rework problem 15 assuming that the index was at 38814 at expiration determine the profit from the arbitrage trade and
on july 5 a stock index futures contract was at 39485 the index was at 39254 the risk-free rate was 283 percent the
assume that on march 16 the cheapest bond to deliver on the june t-bond futures contract is the 14s callable in about
consider a 30 million notional principal interest rate swap with a fixed rate of 7 percent paid quarterly on the basis