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CFA Level I Pricing and Valuation of Forward Contracts and for an Underlying with Varying Maturities question

Derivatives / Pricing and Valuation of Forward Contracts and for an Underlying with Varying Maturities

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Pricing and Valuation of Forward Contracts and for an Underlying with Varying Maturities sample question

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Derivatives

Pricing and Valuation of Forward Contracts and for an Underlying with Varying Maturities

An equity index stands at 3,600.00. Index constituents are expected to pay dividends with a value of 36.00 index points as of the expiration of a six-month forward contract on the index. The annual risk-free rate is 4.0% with annual compounding. The no-arbitrage six-month forward price of the index is closest to:

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