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assignment 1 brenner

# assignment 1 brenner - contract \$1750 per contract(X 3 =...

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Homework 1 Josh Marcus Prof. Brenner 9/30/09 Problems 1. Facts - T Bond 3 Contracts Long at 90 16/32 (100k) per. (10am) - Today Settle Price 89 8/32 - Original margin 2k/contract ||| maintenance margin 1.5k p/ contract B. - Posted \$2,000 per contract (X 3) = \$6000 Margin Posted - Contract Loss for day is 90 16/32 to 89 8/32= 1 8/32 = \$1250 per Contract - \$1250 X 3= \$3750 Loss for day. C. – Contract went from 89 8/32 to 91 during trading Tuesday. This equals a change of 1 24/32 per

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Unformatted text preview: contract- \$1750 per contract (X 3 ) = \$5250 Total Gain for Day 2. Facts-Spot Gold is \$1,0003 p ounce-Future for Delivery in 6 Months is \$1,009-Future For Delivery in 12 Month is \$1,013-IR on 6M Loan is 1% (Annual Basis) A. B. C. D. 3. Facts-Spot Price is \$1.45/Euro Futures Price for Delivery in 6 Months is \$1.443-6 Month IR in Euro is 2% (ann, CC)- ^ Month rate in \$ is 1% (ann, cc) (((FX Same Cost of Carry Model) A. B. C....
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assignment 1 brenner - contract \$1750 per contract(X 3 =...

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