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CFA Level 2
Derivatives

Futures Price Calculation

Very Easy Forward Pricing And Valuation Futures Contracts

Futures contracts are agreements to buy or sell an asset at a predetermined future date and price. These contracts are standardized and traded on exchanges. The price at which the buyer agrees to purchase the asset is known as the futures price.

Suppose that a futures contract on a commodity is currently trading at $150. If the contract matures in three months and the risk-free rate is 2%, what would you expect the futures price to be at maturity if there are no storage costs or other carrying costs associated with the commodity?

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