1.An investor has $10M half SPY and half fixed income (duration 5 years).He wishes to synthetically change the AA (asset allocation) to 120% equity (beta 1.3), and 20% fixed income (duration 8).He will use the ES equity contract at a beta if 1.00 and the ZB contract priced at 98 with a duration of 3.

a.How many equity futures contracts are needed?

b.How many fixed income futures contracts are needed?

c.What are the respective margin requirements?

d.Please do the proof.

2.What is the difference between Margin Buying Power and Non-Margin Buying Power?

3.If the Old Call is $5 and the new call is $6, and the old stock is $30 and the new stock is $40, what is the delta?

4.Explain how to calculate gamma.