Question: On October 16, 2007, the firm from Exercise 4 decides to enter into a Eurodollar futures contract with expiration on April 14, 2008, so it

On October 16, 2007, the firm from Exercise 4 decides to enter into a Eurodollar futures contract with expiration on April 14, 2008, so it buys 100 contracts (each is worth $ 1,000,000). The firm decides that it will create a separate account in which it will simply store the daily P/L of the futures contracts until expiration.
(a) Using the information in Table 6.11, how much money will the firm receive in six months?

(b) Suppose that futures prices moved instead according to Table 6.12. How much money will the firm receive in six months?

15-OM47. 95.3900 4.9377% 0.9751 09998 15-Ja-08 %.5900 3.6628% 0.9902 0.9oA8 3.6452% 0.9904 0.9998 4.7691% 0.9756 0.9998 45475% 0.9761 0 19:0-417 956850 .3133% 09916 0.9998 24 Oct47 95.6700 4 6208 0.9769 09998 23-Ian0 T.2450 30388% 09926 09009 340ct-07 95.7750 45184% 09772 09998 24JunOS 970350 30847% 0002H 09999 25-01-07 957750 44484% 0.9776 0.9998 3.2957% 09928 0.9999 moet-07 95 7000 4.4837% 0.9781 0.9998 29-JandE 97080 3.14141 09931 09999 30-Oct.07 95680 455 14% 0.9784 0.9998 30-lun-0697.1850 3.1548% 0.9934 09999 09999 0.9999 09999 09999 45478% 0.9784 0.99 46967% 0.9784 4.53235 45183% 31-lan-0E 1-Feb-08 972400 97.1700 3.0024% 2.9729% 3.0675% 3.07800f 00936 0.993B 49939 0.0040 0.9787 D9790 0.9998 0.9998 5-Nov-07 957250 5-Feb-0 972400 Nov-07 95.7550 54969 09792 0,9998 2.9297% 0.9942 0.9999 2.9512% 0.9943 0.9999 4.4121% 43647%, 4.3561% 0.9797 09801 0.9803 0.9998 0.9998 12-No-07 959300 12-Feb-08 972900 2.9167% 0.9047 00010 14-Nov47 957000 4.4676% 09803 0.9998 4.4416% 0.9803 0.9998 4.3667% 0.9804 0.9098 0.9998 0.9998 2.9325% 0.9949 0.9999 2.9446% 0.9950 0.0900 2.9701% 0.9953 0.9999 S-Nov-07 95.9450 9-Nov-07 2D-Nov-O7 95.8350 95.8300 4430709806 0.9807 4.4359% 21-Feb-08 25-Feb-08 97.1300 27,Feb-0897.1900 97.2000 3.0012% 0.9955 09299 29-Nov-07 6-Nav-0 27,Nav47 95.9500 96090 959700 4.3945% 4.4663% 4376 0.9810 0.9813 0.9815 0.9998 0.9998 0.9998 30499% 3.0541% 3,0192% 2.9751% 2.9505% 0.995, 0.9959 03960 0.9961 0.9963 09999 0.9999 00099 29-Nov-0 95855 0.9999 30-Nov-O796,000 4.4795% O.17 D.9998 3.Mar.H 97.3550 2.8894% 0.9965 0.9999 4,4383 0.9821 4.4754% 0.9823 0.9998 4.4785% 09825 09998 -Mar-N 3350 10-Dec-07 11-Dec 07 12 Dee-DT 13-Dec-07 95.7250 95.7050 95.8100 95.7350 4.6553% 4.6395 09829 0.9 31 9g98 11-Mar-08 97.400 2.7963% 0.9974 0.0999 4.5007% 0.9836 09998 14-Mar-01 1B-Mar-08 9.5500 20-Mar0g97.5275 97m50 271505 099m ooroo 09844 0.9846 09849 953230 44625% 09851 44741% 09855 4.5908% 4.5211% 4.46805 0. 0.99 09998 19-Dec-07 20-Dec-07 95.8450 955700 25822% 2b602% 2.6671 0063 09986 0.0987 0.0000 000 0.9999 25-Mar-08 914350 2.6704% 0.9990 0.9999 1-Apr 06 973800 26633% 0.9990 0.9999 lanO8 06.0600 43892% 0.9869 0.9998 2-Apr4M 97.3200 2.6937% 0.9991 09999 1-Dec-07 959350 44191% 0.9866 961950 42555% 09874 4-Apr-08 7-Aprog 97.5000 973150 2.7352% 2.71203% (1.9993 .9995 0.9999 09999 4.1396% 0.9879 0.9998 1183 09883 998 9-Jan-08 96.3300 4.0523% 09884 0.0008 9-Apr-0 972800 2.7082% 0.9996 09999 10-Jan-08 96.4000 3.9589% 09887 0.9998 10-Apr08 972800 2.6974 0.9997 09999 I1-AprH 972850 14-Jan-OS g66300 3.6526% 0.9900 0.9998 14-Apedaga912 2.7088% iamo o9999 16-Oct-07 95.390 29-Nov-07 94.795 6-Jan-08 94.21029-Feb-08 93.400 17-Oct-07 95.265 30-Nov-07 94.780 17-Jan-08 94.155 3-Mar-08 93.4250 18-0ct-07 95.210 3-Dec-07 94.810 8-Jan-08 94.065 4-Mar-08 93440 4-Dee-07 94.815 22-Jan-08 93.6305-Mar-08 93.4800 6-Mar-08 93.4450 6-Doc-07 94.90S 24-Jan-08 93.745 -Mar-08 93.3000 7-Dec-07 95.040 25-Jan-08 93.715 10-Mar-08 93.2950 22-Oct-07 95.110 5-Dec-07 94.815 23-Jan-08 93.535 23-01-07 95.110 24-0ct-07 95.005 25-Oct-07 95.005 10-Dee-07 95.05528-Jan-08 93.655 11-Mar-08 93.3800 26-0ct-07 95.045 1-Dee-07 95.075 29-Jan-08 93.67512-Mar-08 93.3350 29-Oct-07 95.080 12-Dec-07 94970 30-Jan-08 93595 13-Mar-08 93.2900 30-Oct-07 95.100 13-Dec-07 95.045 31-Jan-08 93.54014-Mar-08 93.1450 31-Oct-07 95.230 4Dec-07 95.140 -Feb-08 93.610 7Mar-08 93.0100 1-Nov-07 95,110 7-Dec-07 95.080 4-Feb-08 93.635 18-Mar-08 93.23 2-Nov-07 94,985 8-Dec-07 94.995 5-Feb-08 93.540 19-Mar-08 93.220 5-Nov-07 95.055 9-Dec-07 94.935 6-Feb-08 93.510 20-Mar-08 93.2525 6-Nov-07 95.075 20-Dec-07 94.910 7-Feb-08 93.515 25-Mar-08 93.3450 7-Nov-07 95.025Dec-07 94.955 8 8-Nov-07 94.88S 24-Dec-07 94.975 11-Feb-08 93.485 27-Mar-08 93.3525 9-Nov-07 94.850 27-Dec-07 94.975 12-Fcb-08 93.49028-Mar-08 93.3550 12-Nov-07 94.850 28-Dec-07 94,895 13-Feb-0893.500 31-Mar-08 93.3400 3-Nov-07 94980 31-Dec-07 94.845 14-Feb-0893.515 Apr-08 93.4000 14-Nov-07 94.990-an-08 94.720 15-Feb-08 93.520 2-Apr-08 934600 15-Nov-07 94.835 -Ja-08 94.695 9-Feb-08 93.590-Apr-08 93.4725 16-Nov-07 94.835 4Jan-08 94.585 20-Feb-08 93.625 4-Apr-08 934200 19-Nov-07 94.945 7-Jan-08 94.560 21-Feb-08 93.580 7-Apr-08 93.4650 20-Nov-07 94.950-08 94.550 22-Feb-08 93.630-Apr-08 93.5250 21-Nov-07 94.830 9-Jan-08 94.450 25-Feb-08 93.660 9-Apr-08 93.5000 23-Nov07 94.830 10-Jan-08 94.380 26-Fob-08 93.635 10-Apr-08 93.5000 26-Nov-07 94.685 -Jan-08 94.200 27-Feb-08 93590 -Apr-08 93.4950 27-Nov07 94810 14-Jan-08 94.150 28-Feb-08 93.530 14-Apr-08 93 28-Nov-07 94.890 S-Jan-08 94.190 8-Feb-08 93.490 2 26-Mar-08 93.35 50

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