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CFA Level 2
Derivatives

Theoretical Futures Price Calculation for Rice

Medium Forward Pricing And Valuation Futures Contracts

ABC Corporation is considering hedging its rice output using futures contracts. The spot price of rice today is $200 per ton. ABC has analyzed that the cost of carry, including storage and interest expenses, is estimated to be $10 per ton. The delivery date for the futures contract is in six months. Based on this information, what should be the theoretical price of the six-month futures contract for rice?

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