MATH 131 Midterm: MATH 131 UMass Amherst Umass_2011 Exam
Document Summary
Math 441, solutions to midterm spring 2005: closes out the position means abc takes short position on august 1 for 4 contracts. So (negative) pro t on futures position is 4(8. 00 9. 00) = . 00. Real price paid is 0. 75 50 = . 50. So e ective price is 37. 50 + 4 = . 50. 2. (a) futures price is 250 1115 e0. 05 (10/12) = 290610 as always, initial value is sh (b) value after 6 months is. 290610e 0. 05(10/12 6/12)) = 1200 250+290610e 0. 05(10/12 6/12) = 14190 where s 6 the negative sign is because you take a short position. is the spot price at six months of 250 shares of s&p. 3. (a) we think of portfolio as one bond, with coupon in two years and one in 3 years. The usual duration formal gives d = 2. 65 years the price of this portfolio (in denominator of formula for duration is about 2. 5 million (b) she should short.
