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CFA Level 2
Derivatives

Futures Pricing Calculation

Very Easy Forward Pricing And Valuation Futures Contracts

Consider a futures contract for a commodity that is currently priced at $50 per unit. The contract has a delivery date in six months. The risk-free interest rate is 2% per annum.

What is the theoretical price of the futures contract at the time of delivery, assuming no storage costs or convenience yield?

Hint

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