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标题: Forward contract [打印本页]

作者: hw0799 时间: 2011-7-13 13:21 标题: Forward contract

index level 14780
index continously compounded dividend yield 2.76%
discrete risk free rate 5.5%
compute 6 months forward contract

a. 14992
b. 14981
c. 15582

作者: kkn006 时间: 2011-7-13 13:21

14981

CP

作者: zephyranalyst 时间: 2011-7-13 13:21

14780 * ex (.055-.0276)*.5= 14983.88

b

作者: mp3bu 时间: 2011-7-13 13:21

0.055 is wrong... since it is a discrete rate - you need to "continuify" it.

you need to do

ln (1.055) = 0.0535

and use that.

if the numbers are closer than what is provided, it could make a difference to your answer.

CP

作者: WarrenB1 时间: 2011-7-13 13:21

I see. Thanks CP.

作者: iteracom 时间: 2011-7-13 13:21

yes B as per CPs explanation

作者: Houjichasan 时间: 2011-7-13 13:21

rounding.... I too am getting 14972 ...

CP

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