- CFA Exams
- CFA Level I Exam
- Study Session 16. Derivatives
- Reading 49. Basics of Derivative Pricing and Valuation
- Subject 5. Why do Forward and Futures Prices Differ?
CFA Practice Question
Consider a futures contract that has a life of 77 days. The annual interest rate is 4.25%. If the spot price is $55, the futures price would then be ______.
A. $55.49
B. $56.28
C. $57.33
Explanation: F0(T) = S0(1 + r)T = 55 (1.0425) 77/365 = $55.49.
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