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Dogtes9667
25.02.2020 •
Business
The spot price of silver is $25 per ounce. The storage costs are $0.24 per ounce per year payable quarterly in advance. Assuming that interest rates are 5% per annum for all maturities, calculate the futures price of silver for delivery in 9 months.
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Ответ:
The future price of Silver is $26.14
Explanation:
First we compute Total storage costs(Tsc) in the future given by the equation:
Tsc = (Sc/4) * [ 1 + exp(-rT1) + exp(-rT2) ]
where Sc is the storage cost today
where r is the rate
Sc = $0.24
T1 = 3/12
T2 = 6/12
r = 5%=5/100
= 0.05
Tsc = (0.24/4) [ 1 + exp(0.05*3/12) + exp(0.05*6/12) ]
Tsc = 0.06 [ 1 + exp(-0.05×0.25) + exp(-0.05×0.5) ]
Tsc = 0.178
The future price( Fv) is given by:
Fv = (Sp+ Tsc) *exp(rt)
where Sp is the spot price of silver
where r is the interest rate
where t is the delivery time ratio (9 months compared to 12 months)
Sp = $25
r = 5%
= 5/100=0.05
t = 9/12
=0.75
Fv = (25. 000+0. 178) * e xp(0. 05×0 .75 )
Fv = $26. 14
Ответ: