,000, the interest rate or ‘risk-free’ rate is -0.50% and the dividend yield on the DAX index is 2.0% presently. Calculate the bases and expected prices of the 6 and 12-month DAX financial futures contracts
,000, the interest rate or ‘risk-free’ rate is -0.50% and the dividend yield on the DAX index is 2.0% presently. Calculate the bases and expected prices of the 6 and 12-month DAX financial futures contracts
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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The DAX cash price is 15,000, the interest rate or ‘risk-free’ rate is -0.50% and the dividend yield on the DAX index is 2.0% presently. Calculate the bases and expected prices of the 6 and 12-month DAX financial futures contracts.
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Step 1: Bases and expected prices meaning:
VIEWStep 2: For the 6-month and 12-month DAX financial futures contracts, the fair values are determined by:
VIEWStep 3: Let's calculate the expected prices of the 6-month DAX financial futures contracts.
VIEWStep 4: Let's calculate the expected prices of the 12-month DAX financial futures contracts.
VIEWStep 5: Now let's calculate the bases of the 6- and 12-month DAX financial futures contracts.
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