1 suppose the 180-day sampp 500 futures price is 140627, Ask an Expert

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1) Suppose the 180-day S&P 500 futures price is 1,406.27, while the cash price is 1,392.91. What is the implied dividend yield on the S&P 500 if the risk-free interest rate is 5.4 percent?

2) Suppose you want to hedge a $160 million bond portfolio with a duration of 5.1 years using 10-year Treasury note futures with a duration of 6.6 years, a futures price of 105, and 6 months to expiration. The multiplier on Treasury note futures is $100,000.

How many contracts do you buy or sell? (Do not round intermediate calculations. Round your answer to the nearest whole number.)

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92748238

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