AMME5105 Assignment 2, April 24, 2018.
Due May 10, 5pm. To be submitted via turnitin
Please submit answers in a word or PDF file with the question numbers clearly marked.
- Spot Date May 1, 2018
- Three and ten year bond futures expiry June 14, 2018
Question 1: (8 Marks)
You sell 5 three year bond futures contracts at 97.69 and buy 4 ten year contracts at 97.115. You hold your position for 3 days then close everything out. What would be the variation margin (for each position and aggregated) if the following were the prices over your holding period:
|Ignore any initial margin. TYB||XYB|
|Purchase Day1 (May 1, 2018)||97.69||97.115|
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