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Assume you are an employee of Citibank in New York. One of your clients has interest in Switzerland and on his behalf; you recently sold
Assume you are an employee of Citibank in New York. One of your clients has interest in Switzerland and on his behalf; you recently sold a Swiss franc futures contract at time t. You now wish to assess the cash flows of the exchange rate that has evolved as shown here below. Assuming an initial margin of $2000, a contract size is CHF125000 and a maintenance margin of $1400 fill in the schedule underneath by assessing what your cash flows would have been and finally determine what the variation margin be in day t+5.
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