review5 - numbers “Initial” is how much money must be...

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Fill in the correct answers in red so that we can use them to study for Exam 2 (unlike Exam 1 where we had no idea if our answers were correct or not)! A8 Introduction to Treasury Futures. Go to the following URL and look at the 30 year Treasury Futures quotes. URL for 30 Year Treasury Futures: bond.html 1) Click on the tab for Contract specifications and read the definition of a futures contract. 2) Carefully read the section in Chapter 9 on Arbitrage and the determinants of Futures Prices. 3) Click on the Performance Bonds/Margins tab and find the margins for the “Long Bond” and write down the initial and maintenance margins. Use the filters and go to Exchange: “CBT”, Asset Class; “Interest Rates”, and Product; “17-30 year Treasury Bond Futures” This should bring up just one bond, and you write down the Initial and Maintenance
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Unformatted text preview: numbers. “Initial” is how much money must be put up to secure a $100,000 futures contract “Maintenance” is how much money you have to keep in your account to maintain it. This is what I wrote down from class, if anyone knows anything different, please edit this. Thanks. I think it may be helpful to know that treasury futures prices are given in points format with the numbers occurring after an apostrophe quoted in 1/32 of a point, while options on treasury futures prices are quoted similarly except the numbers occurring after an apostrophe are written in 1/64 of a point. A9 Option Contract Value lines View or download the Word file here (had a couple graphs that wouldn’t paste into Google docs): id=1qzaCFujqRh007H8e87PvTlgO_ulTgesXnnGSjoQldTc&h...
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This note was uploaded on 03/30/2012 for the course MANEC 453 taught by Professor Jerrynelson during the Fall '10 term at BYU.

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review5 - numbers “Initial” is how much money must be...

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