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Problem #3: The current value of an S&R futures is $1529.11. You buy 8 futures on the S&R and the contract size is $475. The

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Problem #3: The current value of an S&R futures is $1529.11. You buy 8 futures on the S&R and the contract size is $475. The 15 marks] margin is settled on a weekly basis and the margin is 12% of the notional value. Margin calls are made as soon as the margin is below 72% of the initial margin level. We assume that = = 5% and observe the following futures prices: Week 0 Futures Price $1529.11 2 S1481.55 $1400.53 (a) Calculate the additional margin payment at time 1. (b) Calculate the additional margin payment at time 2. (c) Calculate the profit of the forward after two weeks. (d) Calculate the profit of the future after two weeks. Problem 3(a): answer correct to 2 decimals Problem 3(b): answer correct to 2 decimals Problem 43(0) answer correct to 2 decimals Problem 63(8): answer correct to 2 decimals Problem #3: The current value of an S&R futures is $1529.11. You buy 8 futures on the S&R and the contract size is $475. The 15 marks] margin is settled on a weekly basis and the margin is 12% of the notional value. Margin calls are made as soon as the margin is below 72% of the initial margin level. We assume that = = 5% and observe the following futures prices: Week 0 Futures Price $1529.11 2 S1481.55 $1400.53 (a) Calculate the additional margin payment at time 1. (b) Calculate the additional margin payment at time 2. (c) Calculate the profit of the forward after two weeks. (d) Calculate the profit of the future after two weeks. Problem 3(a): answer correct to 2 decimals Problem 3(b): answer correct to 2 decimals Problem 43(0) answer correct to 2 decimals Problem 63(8): answer correct to 2 decimals

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