If the Stock Market Index Is at a Level of 1,120

question 16

Multiple Choice

If the stock market index is at a level of 1,120 and the one-year forward on the index is 1,210,what is the implied repo rate in continuously-compounded terms (assuming zero dividends on the index) ?

• A)5.72%
• B)6.52%
• C)7.72%
• D)8.62%