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If Sam invests $200000 on Futures and takes Futures short position on an index fund whose settlement is one year from now, with the current futures price being $1200. The relation between spot price(S) and futures price(F) is given as : F = S * e^(r*T); where r is the risk free rate = 10% and T is time to settlement. The index fund currently priced at $1100. If after six months the price is expected to be $1203. What will be his profit/loss after 6 months?

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  • d) All of the above – Bob Baerker Nov 11 '20 at 16:34
  • 1) find the future price at T using the formula provided. 2) calculate the different between the futures price and T and the price at T + 0.5. The difference is the P/L. Which part are you stuck on? – D Stanley Nov 11 '20 at 16:49
  • @DStanley future price calculation with which spot price? Can you please elaborate your answer – Guest1011 Nov 11 '20 at 16:59
  • "The index fund currently priced at $1100". Although I just realized that you have given both a spot and futures price that don't align exactly to the formula, so something else is wrong. – D Stanley Nov 11 '20 at 17:34
  • There isn't enough information to answer as the number of purchased contracts and the FPV of the future is not stated. – ThatDataGuy Nov 21 '20 at 14:20

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