An investment management firm has a client who would like to temporarily reduce his exposure to equities by converting a $25 million equity position to cash for a period of four months. The client would like this reduction to take place without liquidating his equity position. The investment management firm plans to create a synthetic cash position using an equity futures contract. This futures contract is priced at 1170.10, has a multiplier of $250, and expires in four months. The dividend yield on the underlying index is 1.25 percent, and the risk-free rate is 2.75 percent.
Calculate the number of futures contracts required to create synthetic cash.
Determine the effective amount of money committed to this risk-free transaction and the effective number of units of the stock index that are converted to cash.
Assume that the stock index is at 1031 when the futures contract expires. Show how this strategy is equivalent to investing the risk-free asset, cash.
主要是第三问，我算出需要86份futures，相当于86*250*1170.1=25157150FV金额的股票转换成cash，现值为24930682，但是最后一问我算出futures头寸利润2990650，后面就没有思路了，应该用哪两个数据比较呢，25157150-24930682=226468，这个数我觉得是cash yield的收益，答案没看懂。
