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Q.676 Ellen Harper, a portfolio manager at Deutsch Investments Group (DIG), is considering investing in the 6-months futures contract on the German DAX-30 index. The DAX-30 is currently valued at 12,240 with a dividend yield of 1.7% per year. If the risk-free rate in Germany is 3.2%, then the price of the futures contract should be: | Financial Risk Manager Part 1 Quiz - LeetQuiz

Explanation:

The price of the futures contract on the DAX-30 index is calculated as:

\text{Price of futures contract} = \text{Current index} \times \left(\frac{1 + f}{1 + q}\right)^T

Where $f$ is the risk-free rate and $q$ is the annual dividend yield.

\text{Price of futures contract} = 12,240 \left(\frac{1.032}{1.017}\right)^{0.5} = 12,329.935

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