CFA Practice Question

There are 206 practice questions for this study session.

CFA Practice Question

Consider a futures contract that has a life of 136 days. The annual interest rate is 4.75%. If the spot price is $98, the futures price would then be ______.
Correct Answer: $99.71

F0(T) = S0(1 + r)T = 98 (1.0475) 136/365 = $99.71

User Contributed Comments 3

User Comment
msusolar why 365 and not 360?
Sagarsan88 Why can't we use 4.75*136/365 here?
wpaxtonn21 Shouldn't it be compounded as:

98( 1 + 0.045/365)^136 = 99.75
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