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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?