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Why did the examiner have to predict the futures rate for month 4 instead just using the price of the 6th month future to calculate the contract size?
Although he does call it the predicted futures rate, it is in fact the predicted ‘lock-in’ rate. This gives the net effect of converting the transaction at spot together with the profit or loss on the futures deal.
I actually think it is more accurate to use the current futures price to calculate the number of contracts, and if you had done that then you would still get full marks (even though it might result in a slightly different answer).
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