AF430 References Mailings Review View 9 T AaBbCcDdE AaB A A. A AalbCcDd AaBbCcDc AaBbCcDc Aa BbcDdEe Norma Heading Title Subtitle Emphasis Problem 1 (28 points) Consider the Mark-to-Market Settlements for 1 gold futures contracts maturing in 5 months. Assume that the risk-free rate available to investors is 6% per annum with quarterly compounding and that no arbitrage relationship between spot and futures prices (Futures-Spot parity) with continuous compounding holds in all months. Also assume that the initial margin is $18,000 per contract, while the maintenance margin is $6000 per contract Futures Contr Price, act Spot Price End of Change in Size End of Month Futures (ounc Buyer/Long Seller/Short nth Month(s) Price es) Position Position Contract (c) (c) Initial Initiated 0 1307.00 1339.84 100 Margin (b) (C) (c) 1 1309.00 1335.25 100 (a) (b) (c) 2 1336.76 100 (b) (c) (c) 3 1332.00 1345.29 100 (a) (b) (C) (c) Monthly Adjustments 4 100 1325.000 (a) (b) (c) (c) Delivery 5 1321.00 100 the Account Bal. Month 5 (C) (c) For the questions below answers must contain at least three digits after the decimal point. a. In the table above, show your answers in the cells marked by "a" (10 pts) b. In the table above, show your answers in the cells marked by "b" (9 pts) c. In the table above, show your answers in the cells marked by "e" (9 pts) Inited States) Focus MacBook Air goa DII F4 F5 F6 F7 F8 F9 AF430 References Mailings Review View 9 T AaBbCcDdE AaB A A. A AalbCcDd AaBbCcDc AaBbCcDc Aa BbcDdEe Norma Heading Title Subtitle Emphasis Problem 1 (28 points) Consider the Mark-to-Market Settlements for 1 gold futures contracts maturing in 5 months. Assume that the risk-free rate available to investors is 6% per annum with quarterly compounding and that no arbitrage relationship between spot and futures prices (Futures-Spot parity) with continuous compounding holds in all months. Also assume that the initial margin is $18,000 per contract, while the maintenance margin is $6000 per contract Futures Contr Price, act Spot Price End of Change in Size End of Month Futures (ounc Buyer/Long Seller/Short nth Month(s) Price es) Position Position Contract (c) (c) Initial Initiated 0 1307.00 1339.84 100 Margin (b) (C) (c) 1 1309.00 1335.25 100 (a) (b) (c) 2 1336.76 100 (b) (c) (c) 3 1332.00 1345.29 100 (a) (b) (C) (c) Monthly Adjustments 4 100 1325.000 (a) (b) (c) (c) Delivery 5 1321.00 100 the Account Bal. Month 5 (C) (c) For the questions below answers must contain at least three digits after the decimal point. a. In the table above, show your answers in the cells marked by "a" (10 pts) b. In the table above, show your answers in the cells marked by "b" (9 pts) c. In the table above, show your answers in the cells marked by "e" (9 pts) Inited States) Focus MacBook Air goa DII F4 F5 F6 F7 F8 F9
