Forward and futures pricing for stocks and commodities Best Workbook For CFA FRM 2022

Stock market prices

Using the following table providing different factors like interest rate, storage cost, dividend yield, calculate forward price. Assume Underlying price of $1000 for all cases.

Type of underlyingInterest rate(CC)Storage costDividendLease(L)/ CYTime to maturityForward price
Stock5%6M 
Commodity6.5%3M 
Stock7% Y= 2% 6M 
Stock6% A=$25 due in 3 months 12M 
Stock10% A=$25 due in 6 months 3M 
Commodity3%3%3M 
Commodity5%$100 paid in advance  6M 
Commodity6%$50 paid at the end of contract CY=1%6M 
Commodity2%$50 paid at the end of 3 months CY = 2%6M 
Commodity4%$10 Paid every month (at the start of the month)  6M 
Commodity2.5%$10 paid every month (at the end of month)  6M 
Commodity6%  L=3%  
Commodity1%$20 paid in advance CY = 5%  

Note: CC = Continuously compounded. CY = Convenience Yield, Y = Yield form, A = Amount, M = months.

Share:

More Posts

People watching a movie

Top 12 Movies every Finance/ Risk Management Student and Professional Should Watch

Margin Call (2011) Reason To recommend: Movie starts from the Risk management department of investment bank and revolves around forecast made by risk management and the decisions taken by board of investment bank. After watching this movie, you will understand the importance of risk management department. Related FRM Topic: General Risk Management Profession (No direct

FRM Part I Learning Objectives 2021

FRM Part I Learning Objectives 2021 Information is collected from GARP.org B1 Foundations of Risk Management – 20% Chapter 1. The Building Blocks of Risk Management After completing this reading, you should be able to: Explain the concept of risk and compare risk management with risk Evaluate, compare and apply tools and procedures used to

FRM exam level question

FRM Part I Exam Style Questions – F1B4C01 Q023

Following is the list of possible portfolio’s with their respective return and risk (SD) with at least one portfolio from the efficient frontier. Which of the following portfolio’s surely will not fall on the efficient frontier? Portfolio Return Risk Portfolio Return Risk Portfolio Return Risk A 12 8 D 13 7.5 G 6 6 B

Send Us A Message

2023 Session

FRM Part I Products

Essentials

Best for Self Study
4999
6 month Access
  • Study Notes PDF
  • 100+ CBT Mock Test
  • Topic Wise Quiz
  • Fastrack Notes

Downloadable Video Classes

Full course access
15000
6 month Access
  • Everything from Essentials
  • Full Videos Downlodable
  • Fastrack Revision Vids
  • Doubt Solving Via Forum
Popular

Video Classes with Mentorship

For Guided Preparation
22000
One Time
  • Everything From Downloadable
  • Personalised Guidance via Zoom
  • Machine Learning Certification
  • Doubt Solving Via Phone or Zoom call
Shopping Cart
  • Your cart is empty.
Scroll to Top

FRM Part I 2023 Live Classes (2.5 Months Batch)

Starting from 15th Jan 2023

Live Classroom Training
(Pune - India)

Saturday - Sunday Classes suitable for working professionals and students.

Live Direct To Home
(Global)

Direct live feed of classroom training direct to your home with live interaction.