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Investment / Financial Markets Old Exam MFE Forum

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  #1  
Old 11-21-2017, 11:49 AM
talnted145 talnted145 is offline
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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?

Thanks!
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Old 11-27-2017, 04:02 PM
Academic Actuary Academic Actuary is offline
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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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