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.
Assume:
- 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 | |
| Close Day1 | 97.695 | 97.115 | |
| Close Day2 | 97.700 | 97.115 | |
| Close Day3 | 97.725 | 97.160 | |
| Close Day4 | 97.700 | 97.175 | |
TO GET THIS OR ANY OTHER ASSIGNMENT DONE FOR YOU FROM SCRATCH, PLACE A NEW ORDER HERE
