1) An investor takes a long position of 10 gold futures contract. The contract s
ID: 2652638 • Letter: 1
Question
1) An investor takes a long position of 10 gold futures contract. The contract size is 100 ounces. The gold futures price is $1,500 per ounce and the initial margin is $60 per ounce.
Suppose the futures price becomes $1,523 next month and he sells to close the futures. Calculate the rate of return in percentage upto 2 decimal points such as 12.34%.
4) A bank wants to lock in the 3-month interest rate starting on June 20, 2017. Currently, 6/2017 Eurodollar futures price is 94.51 and 9/2017 Eurodollar futures price is 97.55. What is the lock in 3-month interest rate between 6/2017 and 9/2017? (margin of error: +/- 0.01%)
5)A long forward contract and a long futures contract have the same cash flow.
True
False
6) Calculate the present value of $100 in 3 years using 6.8% interest rate with continuous compounding.
Explanation / Answer
1)
Detail Detail Amount/% Value of Future Contract 10*100*1500 15,00,000.00 Initial Margin( Amount Invested) 10*100*60 60,000.00 Profit on futures 10*100*1523-10*100*1500 23,000.00 Rate of return Profit/Amount Invested 38.333%Related Questions
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