BFC 5915 Assignment 1 - solution.xlsm - Spreadsheet Assign...

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adsheet Assignment sol sol sol
t 1
Introduction: The aim of this spreadsheet is to improve your understanding of futures, spe 1) Futures Basics 2) Hedging with futures What you are required to do: Part A: Futures Basics: Futures Payoff Using the following information, complete the payoff table for both long and s Initial Futures Price: 64 Stock Price Short Futures Payoff 55 9 56 8 57 7 58 6 59 5 60 4 61 3 62 2 63 1 64 0 65 -1 66 -2 67 -3 68 -4 69 -5 70 -6 71 -7 72 -8 Part B: Futures Basics: Mark to market You are required to complete the margin table below with the following inform Position Short Number of Contracts 7 Initial Price 6140 Contract Unit ($ per index point) $25 Initial Margin (per contract) 5638 Maintenance Margin (per contract) 5213 Date Closing Price (index points) 0 9/1/2020 6141.016
1 9/2/2020 6192.24896549113 2 9/3/2020 6359.10013320919 3 9/4/2020 6210.41243092002 4 9/5/2020 6113.02392111677 5 9/6/2020 6119.36007862764 6 9/7/2020 6362.80178879053 7 9/8/2020 6464.35300946478 8 9/9/2020 6594.66063316051 9 9/10/2020 6958.90532796168 10 9/11/2020 7288.11301802006 11 9/12/2020 7907.55143270338 12 9/13/2020 8119.93065526373 13 9/14/2020 8352.4056730558 14 9/15/2020 8417.44714426426 15 9/16/2020 8519.02115115552 16 9/17/2020 8622.2300633091 17 9/18/2020 8419.28866585724 18 9/19/2020 8265.6651172956 19 9/20/2020 8287.87678136497 20 9/21/2020 8021.27871569131 21 9/22/2020 8121.28687876218 22 9/23/2020 7994.19033221541 23

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