The following is an excerpt from the Wall Street Journal futures page. It includes the futures prices of gold. The current cash (spot) price of gold is $403.25. Make your best estimates of the implied interest rates (from the arbitrage relationship) in the futures prices.
(You can assume zero carrying costs for gold.)
|
Contract expiring in |
Trading at |
|
1 month |
$404.62 |
|
2 months |
$406.11 |
|
3 months |
$407.70 |
|
6 months |
$412.51 |
|
12 months |
$422.62 |