Q1 (Futures Margin call) You took a long position in 10 Eurodllar futures contracts (June 2014 delivery) on 1/13/2012 at the price indicated below. You met all margin calls, and did not withdraw any excess margin. All ED futures have a 90-day maturity and a notional principal of $1 million regardless of the delivery month. When the ED futures price increases by 1 basis point (98.35 to 98.36, for example), one long ED futures position gains $25, and one short ED futures position loses $25.
A. Complete table 1 and provide an explanation of any fund deposited. Assume the contract is purchased at the settlement price on each day.
B. How much is your total gain by the end of 1/23/2012?
Q2 (Cost of Carry):
On May 10th, 2012, the gold spot price was $1,580/oz and the 9-month risk-free interest rate was 2% (annualized),
Assume the cost of storage and insurance of gold is $100/oz payable on February 7th, 2013.
a) What is the equilibrium price of gold futures on May 10th, 2012 for delivery in 273 days, February 7th, 2013?
b) If the futures price is $1,800, how can you create an arbitrage profit making strategy? What is the amount of arbitrage profit?
a) Futures Price (equil)
b) Amount of profit
Show your calculation below
Q3: (FRA and FX forward Pricing & Valuation - use discrete compounding method)
Table 1 below has spot exchange rates and S&P 500 Index qutoed on June 4, and Aug 4, 2008. Table 2 has spot LIBOR rates on EURO (EUR) and US Dollars (USD) for maturities ranging from 1 week to 12 months announced by the British Banker's Association (BBA) on June 4, Aug 4, 2008, and September 4, 2008.
A) What should be the 6-mo FRA rates three months from June 4 (3X9 FRA) for Euro? 3X9 FRA on USD?
B) Calculate the market value (in EUR) on Aug 4 of a long position of the EURO FRA in A) above. The notional pricipal is EUR 10,000,000.
C) What is the market value in USD of the EURO FRA in B) above?
Attachment:- Sample Fin.xls