QUESTION The current value of an S&R futures is $1578.47 . You buy 5 futures...
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QUESTION The current value of an S&R futures is $1578.47 . You buy 5 futures on the S&R and the contract size is $361. The margin is setled on a monthly basis and the margin is 14% of the notional value. Margin calls are made as soon as the margin is below 68% of the initial margin level . We assume that r = 3% and observe the following - futures prices Month 0 1 2 3 4 Futures Price $1578.47 $1386.14 $1301.64 $1469.44 $1446.61 Find the monthly margin balance @) at time 0. (b) at time 1. () at time 2. d at time 3. (e) at time 4
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