INV3703 – Derivatives
Assessment 01
Scope Lesson 1, 2 & 3 (basic calculations)
Format Written
Total marks 25
Opening date 09 March 2026
Due date 23 March 2026
Contribution to semester mark 50%
Do NOT wait until the due date before submitting your assignment (uploading pdf file) on
myUnisa. The due date will not be extended. If you are unable to submit your assignment
by the due date, for whatever reason, you would have forfeited the opportunity.
INSTRUCTIONS:
• Show all formulas, each input to a formula, and every step of your calculation. Perform
each calculation as accurately as possible, only rounding the final value to two decimal
places.
• Always assume discrete compounding (dc) unless a question specifically indicates
continuous compounding (cc).
• Do not use ChatGPT (or Gemini, Grok etc.) to complete this assignment.
• If you write your answers by hand and scan them, you must ensure that they are clear
and legible. It is advised that you complete the assignment in Word and convert it to
PDF.
• When you scan pages, ensure that you submit a properly scaled A4 file with portrait
orientation. If the original file pages are too large, the file cannot be opened online. Open
your file after scanning the pages and print to PDF (A4) if they appear too large. Verify
your file before uploading.
• Insert spaces between answers. Clearly show where each answer starts and ends. Move
calculations to show in full on one page. Make an effort with your presentation/layout to
enable marking.
, QUESTION 1
Assume a 9-month forward contract on an asset trading at R100 in the spot market.
The risk-free rate is 7% (discrete compounding).
a) Calculate the forward price at initiation.
F0= S0(1+r) T = 100(1.07)0.75. = R105.20
b) Calculate the value of the contract after 6 months when the underlying asset
trades at R104 in the spot market.
Value after 6 months
Time elapsed = 6 months → remaining time = 3 months
Spot price St = R104
Delivery price F0 = R105.20
Forward: Vt = St – F0
(1 + r) T−t
The contract has a positive value (R0.55) to the long position.
c) Based on the information in 1b, calculate the value assuming it is a futures
contract. Explain the difference in value.
If it is a futures contract, price for the remaining 3 months
F0= S0(1+r) T = 104(1.07)0.25. = R105.77
Gain to a long future opened at 105.20 and held to month 6 is
F0 - Ft = 105.77 -105.20 = R0.57
Assessment 01
Scope Lesson 1, 2 & 3 (basic calculations)
Format Written
Total marks 25
Opening date 09 March 2026
Due date 23 March 2026
Contribution to semester mark 50%
Do NOT wait until the due date before submitting your assignment (uploading pdf file) on
myUnisa. The due date will not be extended. If you are unable to submit your assignment
by the due date, for whatever reason, you would have forfeited the opportunity.
INSTRUCTIONS:
• Show all formulas, each input to a formula, and every step of your calculation. Perform
each calculation as accurately as possible, only rounding the final value to two decimal
places.
• Always assume discrete compounding (dc) unless a question specifically indicates
continuous compounding (cc).
• Do not use ChatGPT (or Gemini, Grok etc.) to complete this assignment.
• If you write your answers by hand and scan them, you must ensure that they are clear
and legible. It is advised that you complete the assignment in Word and convert it to
PDF.
• When you scan pages, ensure that you submit a properly scaled A4 file with portrait
orientation. If the original file pages are too large, the file cannot be opened online. Open
your file after scanning the pages and print to PDF (A4) if they appear too large. Verify
your file before uploading.
• Insert spaces between answers. Clearly show where each answer starts and ends. Move
calculations to show in full on one page. Make an effort with your presentation/layout to
enable marking.
, QUESTION 1
Assume a 9-month forward contract on an asset trading at R100 in the spot market.
The risk-free rate is 7% (discrete compounding).
a) Calculate the forward price at initiation.
F0= S0(1+r) T = 100(1.07)0.75. = R105.20
b) Calculate the value of the contract after 6 months when the underlying asset
trades at R104 in the spot market.
Value after 6 months
Time elapsed = 6 months → remaining time = 3 months
Spot price St = R104
Delivery price F0 = R105.20
Forward: Vt = St – F0
(1 + r) T−t
The contract has a positive value (R0.55) to the long position.
c) Based on the information in 1b, calculate the value assuming it is a futures
contract. Explain the difference in value.
If it is a futures contract, price for the remaining 3 months
F0= S0(1+r) T = 104(1.07)0.25. = R105.77
Gain to a long future opened at 105.20 and held to month 6 is
F0 - Ft = 105.77 -105.20 = R0.57
