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Old 11-21-2017, 10:49 AM
talnted145 talnted145 is offline
Join Date: Oct 2017
Posts: 1
Default Standard Futures Time?

Hello, I was recently doing a question where they provide the index price at time t = 0 and t = .50. The index prices were different for both times. The question wanted to know the gain/loss on the Futures price from time 0 to .5. Everything needed in the problem was given except for how long the futures price was originally for. This through me for a loop as futures prices are dependent on how long the contract is for. So my question is there a standard time period we are to assume if one is not given?

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Old 11-27-2017, 03:02 PM
Academic Actuary Academic Actuary is offline
Join Date: Sep 2009
Posts: 7,367

You need to know the change in the futures price to determine the profit and that requires the maturity date to determine from the Index price. Did the problem have a solution?
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