Question

Use the quotes of Eurodollar futures contracts traded on the Chicago Mercantile Exchange as shown below to answer the following questions:



a. What is the annualized discount yield based on the “low” index price for the nearest
March contract?
b. If your financial firm took a short position at the high price for the day for 15 contracts, what would be the dollar gain or loss at settlement on June 09?
c. If you deposited the initial required hedging margin in your equity account upon taking the position described in (b), what would be the marked-to-market value of your equity account atsettlement?


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  • CreatedOctober 31, 2014
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