Spot Yen/$ is 108Yen/$. 6-month US interest rate is 2.20%. 6-month Japanese rate is -0.036%.
- Spot Yen/$ is 108Yen/$. 6-month US interest rate is 2.20%.
6-month Japanese rate is -0.036%. Where should 6-month forward
/futures trade? First convert to the standard for futures, i.e.,
$/Yen.
- The quote for the spot exchange rate for the British pound is
$0.7612/£. A 6-month forward is quoted at $.7684/£. The 6-month
British interest rate is 1.10%. What is the implied US 6-month
interest rate? (All interest rates are quoted as annual
rates.)
- Cash (spot) gold is $1,450/oz. The cost of storage is $6 per
month- per ounce. US 3-month risk-free rate is 1.90%. What is the
expected price for a three month forward contract?
- On 9/15/18 you entered into a forward contract to sell 1,000
barrels of crude oil with delivery on 9/15/19, i.e., one-year
later, for $69.00/barrel. 6 months later on 3/15/19 spot crude has
dropped to $50/bbl. 6-month US interest rate is 2.00%. If you
wanted to unwind your forward contract, would you pay or receive a
payment? How much? Storage costs are 50 cents per barrel per
year.
- A 30-year Treasury bond has a 3.00% coupon, a maturity of
9/30/2049, a price of 95 7/32, and a yield to maturity of 3.25%.
Today is 9/30/19. 3-month risk-free rate is 1.80%. What is a fair
price for a 3-month forward for this bond?