MATH 131 Midterm: MATH 131 UMass Amherst Umass_2009 Exam
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Math 441, solutions to midterm fall 2005: futures price is, hedge ratio is. F = 16(400 + 5)(1 + 0. 006/4)2 = 6676. h = . On oct 27, take long position in 1 1000 = 1000 futures with delivery dec: on nov 27 take short position in 1000 futures. On dec 15, exchange goods receive (pay) net gain (loss). = p(0. 45 102 + 0. 55 ( 5)2) (0. 45 10 + 0. 55 ( 5)) = . 60 (b) expected pro t from short position is (0. 45) (75 80) + (0. 55) (75 65) = 3. 25. 4. (a) let r1 and r2 be the one-year and two-year spot rates. 97 = 100 exp{ r 1} implies r1 = 3. 0%. 100 = 4 exp{ 0. 030} + 104 exp{ 2r2} implies r2 = 3. 9%. The forward rate is (2 0. 039 1 0. 030)/(2 1) = It solves (2 97 + 100) = (2 100 + 4)e y + 104e 2y ie, y = 3. 5%, duration and convexity are.
