CFA Institute’s mock exam question 8 and 9 for the morning exam. I think the daycount for both questions seem inaccurate? I am referring to the sample they give on their site which referred to forwards and futures.
For ques 8, I believe the daycount should ne 360-30 instead??
For question 9 i think it should be 270/360.
its not in the errata though somim puzzled…
sorry for the mistakes im bad at typing fast on ipad!
A is correct. V30(0,60) = (1450.82e-0.025(30/360) ) – (1403.22e-0.0392(30/360) ) = $1,447.80 –$1,398.64 = $49.16.
this is value of contract after 30 days for question 8 … i believe it should be 330/360 instead of 30 used as daycount
this is question 9 i believe it should be 270 used as daycount
- B is correct. PV of coupons = 25/(1.04)90/360 + 25/(1.04)270/360 = 24.7561 + 24.2753 = $49.03. F(0,360) = (1071.33 – 49.03)(1.04)360/360 = $1,063.19.