Question: Problem 4. Assume continuous time for any calculation (4 decimal places) (360 day years) 7 There is a future contract on the S & P500

Problem 4. Assume continuous time for any calculation (4 decimal places) (360 day years) 7

There is a future contract on the S & P500 Index S&P 500 Future Price 3,842.94 2 Contract Size 290 3 Expiration 4 months 4 Initial margin 5% of the price 5 Maintenance margin 79% of initial margin 6 TLR for margin account 5% per annum cap cont. 7 * Margin account makes monthly adjustments

S&P levels changed as follows: Month 1: 3850.1 Month 2: 3842.4 Month 3: 3845.2

At the end of the third month, you want to know how much you would have in your margin account 1) How much do you have in your margin account? 1) What is the value of your contract?

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