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# Futures

### Single Stock Futures

2006 NOK(Nokia) SSF (Single Stock Futures) contract is trading for \$17.00. a. If you sell and hold the short position until expiration, what will I have to do on the expiration date? b. If Intel is currently trading on the NYSE (its cash market) for \$16.00, at what annual rate can you effectively (really) borrow and lend mon

### T-bond futures : the change in equity in a one-contract short futures position

The contract size for T-bond futures is \$100,000. If bond futures decline from 96-04 to 94-12 the change in equity in a one-contract short futures position would be? (ignore transaction cost)

### Future value

Assume \$1000 investment at 10%, for 2 years. What would the fV be?

### Estimating Costs of Contracts

An insurance company's losses of a particular type are to a reasonable approximation normally distributed with a mean of \$150 million and a standard deviation of \$50 million. (Assume no difference between losses in a risk-neutral world and losses in the real world.) The one-year risk-free rate is 5%. Estimate the cost of the fol

### Arbitrage in Treasury Notes Futures

Based solely on the following information, does an arbitrage opportunity exist (Treasury quotes in 100% of par, 32nds)? JUN 10-year Treasury note futures contract 115-18 10-year Treasury note spot quote 115-00 Risk-free rate 1.75% Expiration 90-days Hint: To be arbitrage neutral, the futures price must equal t

### Hedging using futures and optimal hedge ratio

You wish to hedge 90 percent of the current portfolio value with futures. The value of the portfolio is \$50 million and tracks the S&P 500 index. The index in 1,076.32 (\$250 per point) and the portfolio has a beta of 1.2. Calculate the appropriate hedging using futures contracts. Hint: Calculate using the optimal hedge ra

### Determining the future value (FV) of a savings bond using Excel.

How do I set this problem up in a spreadsheet? You have just made your first \$20,000 contribution to your individual retirement account. Assuming you earn an 11% rate of return and make no additional contributions, what will your account be worth when you retire in 45 years? What if you wait 10 years before contributing?

### Understanding Excel formulas for financial analysis.

How do I use the Excel financial formulas to calculate present value, future value and discount rates?