Please answer and explain without using excel. Consider the Mark-to-Market Settlements for 1 gold futures contracts maturing in 5 months. Assume that the risk-free rate available to investors is 6% per annum with quarterly compounding and that no arbitrage relationship between spot and futures prices (Futures-Spot parity) with continuous compounding holds in all months. Also assume that the initial margin is $18,000 per contract, while the maintenance margin is $6000 per contract Month Spot Price End of Month(S) Futures Price, End of Month (F) Change in Futures Price Contract Size (ounces) Buyer/Long Position Seller/Short Position Contract Initiated 0 1307.00 1339.84 -- 100 (c) (c) Initial Margin 1 1309.00 1335.25 (b) 100 (c) (c) Monthly Adjustments 2 (a) 1336.76 (b) 100 (c) (c) 3 1332.00 1345.29 (b) 100 (c) (c) 4 1325.00 (a) (b) 100 (c) (c) Delivery 5 (a) 1321.00 (b) 100 (c) (c) (c) (c) Account Bal. Month 5 For the questions below answers must contain at least three digits after the decimal point. a) In the table above, show your answers in the cells marked by “a” b) In the table above, show your answers in the cells marked by “b” c) In the table above, show your answers in the cells marked by “c”
Please answer and explain without using excel.
Consider the Mark-to-Market Settlements for 1 gold futures contracts maturing in 5 months. Assume that the risk-free rate available to investors is 6% per annum with quarterly compounding and that no arbitrage relationship between spot and futures prices (Futures-Spot parity) with continuous compounding holds in all months. Also assume that the initial margin is $18,000 per contract, while the maintenance margin is $6000 per contract
|
|
Month |
Spot Price End of Month(S) |
Futures Price, End of Month (F) |
Change in Futures Price |
Contract Size (ounces) |
Buyer/Long Position |
Seller/Short Position |
|
|
Contract Initiated |
0 |
1307.00 |
1339.84 |
-- |
100 |
(c)
|
(c) |
Initial Margin |
|
|
1 |
1309.00 |
1335.25 |
(b) |
100 |
(c)
|
(c) |
Monthly Adjustments |
|
|
2 |
(a)
|
1336.76 |
(b) |
100 |
(c)
|
(c) |
|
|
|
3 |
1332.00 |
1345.29 |
(b)
|
100 |
(c)
|
(c) |
|
|
|
4 |
1325.00 |
(a)
|
(b)
|
100 |
(c) |
(c) |
|
|
Delivery |
5 |
(a)
|
1321.00 |
(b) |
100 |
(c)
|
(c) |
|
|
|
|
|
|
|
|
(c) |
(c) |
Account Bal. Month 5 |
For the questions below answers must contain at least three digits after the decimal point.
a) In the table above, show your answers in the cells marked by “a”
b) In the table above, show your answers in the cells marked by “b”
c) In the table above, show your answers in the cells marked by “c”
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