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Course 45083
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The spot price of West Texas Intermediate (WTI) oil is $43 per barrel.
The fair forward price for delivery of WTI Oil 3 months from now is $45. However, you notice that WTI Oil forward contracts with delivery in 3 months are quoted at $48 per barrel.
What trades are required now to capture this arbitrage opportunity?
$402 is invested for a period of 7 years with continuously-compounded interest of 7% per annum. How much will it grow to?
Enter your answer to 2 decimal places. Do not enter the dollar sign "$".
You will receive $181 in 3 years time. If the discount rate is 4% per annum continuously compounded, what is the present value of this future cashflow?
Enter your answer with 2 decimal places. Do not enter the dollar sign "$".
You manage an equity portfolio currently worth $83m. The beta of this portfolio is 1.42. If the SPI200 futures contract is quoted at F=5672, how many short SPI200 contracts are required to fully hedge this equity portfolio?
Round your answer to the nearest whole number.