Two questions…
8C. To calculate the profit on the forward contract, why is it okay to assume that the forward price at 3 months is the same as the spot price at 3 months? If you look at the way this type of problem is done in Schweser Book 4 Page 122 and CFAI Volume 5 page 292, they provide spot and futuress price for today and for period t (for each). So I was expecting to see a Ft in addition to a St.
9C. Interest rate management effect includes duration, convexity, and YC shape. The chart only shows interest rate management effect (without the breakouts of each) and shows that duration was -.08 (and the manager says he adds value via duration effects). Why is the answer not “cannot determine with information provided”? Duration may have been positive while the other two effects could have been more negative than duration was positive–we just don’t know withotu the breakouts. Does anyone agree?