A portfolio manager wants to generate 10M in 100 days of a
portfolio whose composition is similar to the SP100 index. To be sure
the value of this last portfolio in 100 days, he sells a forward contract
with a delivery time of 100 days on the SP100 index, for a value
nominal of 10M. Currently, the SP100 index is at 525.2. If in 100
days, the level of this index becomes 535.7, how much the manager must pay for
close your short position on the forward contract? Suppose that the contract
forward was signed at the right price with a risk-free rate of 3%
Where is the question from. Could you publish full question and answers.
On what you have sent I would estimate
Fair value of forward = 525.5 x (1.03)^(100/365) = 529.7729
Value of Index at expiry of fwd = 535.7
Loss on short fwd = 527.7729 - 535.7 = 5.9271
As % 5.9271 / 529.77 = 1.119%
x $10m = $0.112 loss