Suppose an investor takes a long position in 1 Gold futures contract, and the following information is given: Contract size = 100 ounces. Futures price = $500 Initial margin = $3,000 per contract. Maintenance margin = $2,000 per contract Date Jan. 1 Jan. 2 Jan. 3 Jan. 4 Jan. 5 Jan. 6 Jan. 7 Jan. 8 Future prices 494 495 488 490 491 474 475 474 i) In which days will there be a margin call? How much will be the variation margin in all cases? ii) In which days do the balances in the margin account exceed the initial margin?
Suppose an investor takes a long position in 1 Gold futures contract, and the following information is given:
Contract size = 100 ounces.
Futures price = $500
Initial margin = $3,000 per contract.
Maintenance margin = $2,000 per contract
|
Date |
Jan. 1 |
Jan. 2 |
Jan. 3 |
Jan. 4 |
Jan. 5 |
Jan. 6 |
Jan. 7 |
Jan. 8 |
|
Future prices |
494 |
495 |
488 |
490 |
491 |
474 |
475 |
474 |
i) In which days will there be a margin call? How much will be the variation margin in all cases?
ii) In which days do the balances in the margin account exceed the initial margin?
B) Party A agrees to pay Party B a fixed rate of 4%. Party B agrees to pay Party A a floating rate based on the return of the S&P 500 Index. The payments will be made annually and will be based on a notional principal of $1,000,000.
i) Suppose at the end of the first year, the S&P 500 appreciated by 4.5%. How much will Party B will pay Party A
II) What will happen in the second year, if the S&P 500
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