Please provide solution to these problems? I am getting different answers.

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Q1) Calculate the 3-month forward price crude oil if the current spot price is $90, the effective monthly interest rate is 0.1%, and the monthly storage costs is $0.50.
Select one:
a. 1.605
b. 1.505
c. 16.60
d. 15.50
Q2) October 2013 spot price for Natural Gas is $6, the annual risk-free interest rate is 5 percent, and the November forward price is $6.5. What is the natural gas implied storage cost for the month of October?
Select one or more:
a. 0.55
b. 0.47
c. 0.57
d. 0.70
Q3) The spot rate is $30 for a commodity. Leasing rate is 8% annum for the commodity. The annual risk-free rate for the commodity future is 9%.What is the 6-month commodity future rate?
Select one:
a. $30.51
b. $30.15
c. $30.05
d. $30.30
Q4) Short-term interest rate in Europe is 7% and 4% in USA. Current exchange rate EUR/USD=$1.4445 (1 EUR=US$1.4445), Find 3 month future rate using the continuous pricing model?
Select one:
a. $1.4337.
b. $1.4553.
c. $1.5492.
d. $1.4018.
Q5) The S&P 500 index future is trading at 1100. Dividend yield is 3% on S&P 500 and the current risk-free rate is 5% percent. What will be the price of it’s futures contract?
Select one:
a. 1105.51
b. 1089.86
c. 1115.15
d. 1089.68
Q6) Ram lives in India and he can invest in INR at 7%, or he can invest in USD at 4%. The current spot rate of USD/INR is 62. Using the interest rate parity, calculate the 1-year forward rate expressed in USD/INR:
Select one:
a. 60.2616
b. 63.7884
c. 61.2616
d. 64.7884
Q7) Spot exchange rate between the USDINR is INR 60 per $. In the U.S., the risk-free interest rate is 4% and In India 7%.The 3-year forward exchange rate at Continuous compounding will be near to:
Select one:
a. 65.6498
b. 54.8363
c. 64.6598
d. 54.6498
Q8) 2) The value of a Call option with 6 month maturity is $5, Strike price and stock price both are $100. Risk free interest is 6%, Calculate the value of put option with the same strike price and expiry?
Select one:
1. $1.78
2. $2.87
3. $5.00
4. $2.13

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Posted by Dipti (Questions: 1, Answers: 1)
Asked on April 5, 2015 3:59 pm
Category: FRM Part I
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Private answer

This question can be answered with the put-call parity relation. The relation is p+S0=c+Xe-rT

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Posted by pravin Khetan (Questions: 0, Answers: 7)
Answered on April 18, 2015 8:52 pm
0
Private answer

3 Months S&P 500 Future price = 1100 x e^((5%-3%)*(1/12)) = 1105.513

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Forward USDINR = spot USDINR [(1+ rDC) / (1+ rFC)]
= 62 (1+0.07) / (1+0.04) = 63.7884

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3 year forward USDINR = 60 x e^((7%-4%)*3)=65.64

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Posted by pravin Khetan (Questions: 0, Answers: 7)
Answered on April 18, 2015 8:51 pm
0
Private answer

Calculating the future cost of storage for 3 months:
0.50 + 0.50(1.01) + 0.50(1.01)^2 = 1.515
$1.515 is to store the oil for 3 months, including interest.

3 month forward price : 90(1.01)^3 + 1.515 = 92.72+1.515 = 94.24
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Spot = $6
Future = 6.5

Future = 6 x e^(5%/12) = 6.025
Storage cost = 6.5 – 6.025 = 0.47

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Spot = 30
Interest rate = 9%
Lease rate = 8%

6 month commodity future rate = 30 x e^((9%-8%) x (6/12)) = 30.15

=================

EURUSD 3 M future= 1.4445 x e^((7%-4%)*(3/12)) = 1.4553

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Posted by pravin Khetan (Questions: 0, Answers: 7)
Answered on April 18, 2015 8:29 pm
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