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Multiplier for a future contract on the stock-market index is $250. Maturity of the contract is one year, current level of index is $2600, amp; risk...
Multiplier for a future contract on the stock-market index is $250. Maturity of the contract is one year, current level of index is $2600, & risk free interest rate is 0.2% per month. The dividend yield on the index is 0.4% per month. Suppose that after 6 months, the stock index is at $2,533. Assume that the party condition always holds exactly. Find the holding period return of long position if the initial margin on the contract is 10% of the original contract value.