Futures+Markets

Futures+Markets - FINA 3104 Practice Problems Fall 2011...

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1 FINA 3104 Practice Problems Fall 2011 Futures Markets 1. True or False (a) If a trader holding a long position in futures fails to meet the obligations of a futures contract, the party that is hurt by the failure is the clearinghouse. (b) The terms of forward contracts such as the forward price and the delivery date are specified by the clearinghouse. (c) If futures prices go up, the buyer of a futures contract can receive a margin call. (d) The higher the riskfree rate, the larger the difference between current spot and futures prices (holding other parameters unchanged). 2. Margin Accounts Today is May 31, 2010, and you short a frozen pork bellies futures contract. Each contract is on 40,000 pounds of frozen pork bellies. The futures price and the maturity of the contract you short are US$1.00/pound and July 31, 2010, respectively. Suppose the initial % margin is 4% and the maintenance % margin is 3%. (a) If the futures price on June 15, 2010 is US$1.0098/pound, what is the value of the margin
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This note was uploaded on 11/27/2011 for the course FINA 3104 taught by Professor Darwin during the Spring '11 term at HKUST.

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Futures+Markets - FINA 3104 Practice Problems Fall 2011...

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