A manager wants to synthetically convert to cash $45 million of a diversified stock portfolio for three months. The manager will use the CME E-mini S&P stock index futures contract, which has a multiplier equal to $50, and the price of the three month contract is 1610.50. The dividend yield on the portfolio is 2.4%. The risk-free rate is 4.04%. The number of contracts the fund needs to use is closest to:
A) 564.
B) 588.
C) 532.作者: PalacioHill 时间: 2011-7-13 16:02
564 contracts short.
He will hold 564(50)/1.024^(.25) = 28,033.29 shares against it that will grow to 28200 at expiration in 3 months.
Deliver 28,200 shares at expiration, receive RFR during the time.
Edited 1 time(s). Last edit at Thursday, June 2, 2011 at 03:04PM by Paraguay.作者: Valores 时间: 2011-7-13 16:02
