At the beginning of the day you short 10 crude oil futures contracts at $43 per...

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At the beginning of the day you short 10 crude oil futures contracts at $43 per barrel . Around noon, that same day, you short an additional 5 crude oil futures contracts at $44.50 per barrel. The initial margin is $3,375 per contract and the maintenance margin is $2,500 per contract How much do oil prices have to change before you receive a margin call? 2. One month ago, an investor entered into a forward agreement. to sell a bond in three months time at a price of $100. The current spot price for the bond is $101.50. Suppose the term structure of interest rates is such that the 1-month spot rate is 2%, the 2-month spot rate is 4% and the 3-month spot rate is 6%. Assume all interest rates are based on continuous compounding a. Given the above information bond does not pay a coupon ? " what is the present value of the investor's position assuming the b. Suppose instead the bond pays a 5% coupon and the next coupon payment is one month from. today. In that event, what is the present value of the investor's position? 3. You buy ten Eurodollar futures contract at a price of 94.59 and that the position you acquire is in the futures contract that is about to expire. One week later you exit the position at a price of 94.23. a. How much money did you make (or lose )? b. If the Eurodollar trade was a hedge for a short forward position in a Treasury bond that will deliver in one year, explain whether the Eurodollar trade was a perfect hedge. What alternative strategy might you recommend to hedge the risk of your short position ? 4. Using the following data to answer the questions a. Plot the yield curve using spot zero rates, where the interest rates are based on continuous compounding b. Assume the spot zero rate for 12 months increases. In that event, how does the value of a Forward Rate Agreement (FRA) change for a trader that has agreed to receive a fixed interest rate over the period from 9 to 12 months ? Please explain your answer and provide a formula which demonstrates your conclusion At the beginning of the day you short 10 crude oil futures contracts at $43 per barrel . Around noon, that same day, you short an additional 5 crude oil futures contracts at $44.50 per barrel. The initial margin is $3,375 per contract and the maintenance margin is $2,500 per contract How much do oil prices have to change before you receive a margin call? 2. One month ago, an investor entered into a forward agreement. to sell a bond in three months time at a price of $100. The current spot price for the bond is $101.50. Suppose the term structure of interest rates is such that the 1-month spot rate is 2%, the 2-month spot rate is 4% and the 3-month spot rate is 6%. Assume all interest rates are based on continuous compounding a. Given the above information bond does not pay a coupon ? " what is the present value of the investor's position assuming the b. Suppose instead the bond pays a 5% coupon and the next coupon payment is one month from. today. In that event, what is the present value of the investor's position? 3. You buy ten Eurodollar futures contract at a price of 94.59 and that the position you acquire is in the futures contract that is about to expire. One week later you exit the position at a price of 94.23. a. How much money did you make (or lose )? b. If the Eurodollar trade was a hedge for a short forward position in a Treasury bond that will deliver in one year, explain whether the Eurodollar trade was a perfect hedge. What alternative strategy might you recommend to hedge the risk of your short position ? 4. Using the following data to answer the questions a. Plot the yield curve using spot zero rates, where the interest rates are based on continuous compounding b. Assume the spot zero rate for 12 months increases. In that event, how does the value of a Forward Rate Agreement (FRA) change for a trader that has agreed to receive a fixed interest rate over the period from 9 to 12 months ? Please explain your answer and provide a formula which demonstrates your conclusion

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