Initial price $2,897 per metric ton

Q 10 metric tons
Initial contract value $28,970
S1 $3,014
Final contract value $30,140
Gain on futures contract $1,170
S $24.13 per ounce
Q 5000 ounces
Initial contract value $120,650
S1 $24.83 per ounce
S1 $23.16 per ounce

Final contract value $124,150

Loss per contract $3,500 per contract
NumbersOfContracts 5 Sold
Net loss $17,500

Final contract value $115,800

Gain per contract $4,850 per contract
Net gain $24,250
Buys call options S1 Gain Loss
Q 50000 barrels of oil 60 $0 $5
E $65 per barrel 62 $0 $3
65 $0 $0
Simultaneously sells a put option 68 $3 $0
Q 50000 barrels of oil 70 $5 $0
E $65 per barrel
Total value
($5)
($3)
$0
$3
$5
Long 10 gold futures contracts S1 Initial value CFO
S $1,810 per ounce (Future price) $1,816 $1,816,000 $6,000
Q 100 ounces $1,812 $1,812,000 ($4,000)
NPER 4 days $1,807 $1,807,000 ($5,000)
Initial value $1,810,000 $1,813 $1,813,000 $6,000
Profit $3,000 in 4 days
Short 25 gasoline futures contracts S1 Initial value CFO
S $1.34 per gallon (Future price) $1.37 $1,438,500 ($31,500)
Q 42000 gallons $1.32 $1,386,000 $52,500
NPER 4 days $1.36 $1,428,000 ($42,000)
Initial value $1,407,000 $1.39 $1,459,500 ($31,500)
Profit ($52,500) in 4 days
NPER 3 Year PV of payment Relative value Payment weight
Coupon 5.3% annually 1 $50.33 0.05033 0.05033
YTM 5.3% annually 2 $47.80 0.04780 0.09560
Par value $1,000 3 $901.87 0.90187 2.70561
Price $1,000 Price $1,000 Duration 2.85154

Duration 2.85154 years from (Banking Area)

NPER 4 Year PV of payment Relative value Payment weight
Coupon 7.1% annually 1 $66.29 0.06629 0.06629
YTM 7.1% annually 2 $61.90 0.06190 0.12380
Par value $1,000 3 $57.79 0.05779 0.17338
Price $1,000 4 $814.01 0.81401 3.25605
Price $1,000 Duration 3.61953
Duration 3.61953 years
 Asset or Liability Market Value (in $ millions) Duration (in years) Weights
Federal funds deposits $43 0 0.028
Accounts receivable $555 0.2 0.361
Short-term loans $340 0.65 0.221
Long-term loans $103 5.25 0.067
Mortgages $498 12.85 0.324
Checking and savings deposits $605 0 0.471
Certificates of deposit $395 1.6 0.307
Long-term financing $285 9.8 0.222
Equity $134 0.104

Market value of assets $1,539

Duration of assets 4.73 years
Market value of liabilities $1,285
Duration of liabilities 2.67 years
Needs 180000 bushels in March
Q 5000 per contract
N* 36 contracts
S $4.265 per bushel in December 4, 2020
Total price $767,700 in December 4, 2020
S1 $4.53 per bushel in March 2021
Total price $815,400 in March 2021
Gain $47,700
NPER 12 Year
School expenses $55,000 at the beginning of each of the four years 12
R 5.3% can borrow and lend 13
14
15
PV of college
 PV Relative value Payment weight
$29,595.27 0.26969 3.23624
$28,105.66 0.25611 3.32946
$26,691.04 0.24322 3.40510
$25,347.62 0.23098 3.46470
$109,739.59 Duration 13.43549 years
NPER 2
Coupon rate 4.8% semi
YTM 4.3%
ParValue $1,000
Duration 1.93115 years
NPER 10
ParValue $1,000
R_spot 6% 1-year
R_spot 8% 11-year
Current bond price $428.88
Forward price $454.62

New bond price $526.79

Forward price $547.86
ParValue $1,000 Treasury bond Time EAR New EAR
NPER 1 6 months 3.61% 3.91%
Current bond price $933.03 12 months 4.05% 4.35%
Forward price $949.72 18 months 4.73% 5.03%
24 months 5.42% 5.72%
Current bond price $929.03
Forward price $947.02
E $50 Call option (Buy) Price of coal $40 $45
Forward price $50 (Sell) Value of call option position $0 $0
Value of forward position $10 $5
Total value $10 $5
Value of put position $10 $5
$50 $55 $60
$0 $5 $10
$0 ($5) ($10)
$0 $0 $0
$0 $0 $0