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11. Suppose S&P 500 index futures price is currently 1200. You wish to purchase four futures contracts on margin a. What is the notional value
11. Suppose S&P 500 index futures price is currently 1200. You wish to purchase four futures contracts on margin a. What is the notional value of your position? b. Assuming 10% initial margin, what is the value of the initial margin? C. Assume there is no interest rate on your margin account and the maintenance margin is 80% of initial margin. What is the greatest S&P 500 index futures price at which will you receive a margin call? 12. Suppose the current exchange rate between Euro and YEN is 0.02. The euro-denominated annual continuously compounded risk-free rate is 4% and the yen-dominated annual continuously compounded risk- free rate is 1%. What are the 6-month euro/yen and yen/euro forward prices? 13. The euro exchange rate is $1.25/euro. The continuously compounded dollar interest rate it 5% and the continuously compounded euro in- terest rate is 4%. Suppose that you borrow euros and lend dollars for 1 year. At what exchange rate will you break even on this position? 3
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