Question: Problem #4: The current value of an S&R futures is $1399.33. You buy 2 futures on the S&R and the contract size is $487. [5

Problem #4: The current value of an S&R futures is $1399.33.

Problem #4: The current value of an S&R futures is $1399.33. You buy 2 futures on the S&R and the contract size is $487. [5 marks] The margin is settled on a monthly basis and the margin is 10% of the notional value. Margin calls are made as soon as the margin is below 80% of the initial margin level. We assume that r = 8% and observe the following futures prices: 1 2 3 4 Month 0 Futures Price $1399.33 $1556.09 $1680.59 $1324.21 $1602.91 Find the monthly margin balance (a) at time 0. (b) at time 1. (c) at time 2. (d) at time 3. (e) at time 4. (A) 136297.74 (B) 136295.74 (C) 136296.74 (D) 136294.74 (E) 136293.74 Problem #4(a): Select 1 Part (a) choices. (A) 289892.65 (B) 289889.65 (C) 289891.65 (D) 289890.65 (E) 289893.65 Problem #4(b): Select 1 Part (b) choices. (A) 413094.71 (B) 413092.71 (C) 413093.71 (D) 413090.71 (E) 413091.71 Problem #4(c): Select 1 Part (C) choices. (A) 68737.74 (B) 68740.74 (C) 68741.74 (D) 68738.74 (E) 68739.74 Problem #4(d): Select 1 Part (d) choices. (A) 340654.35 (B) 340653.35 (C) 340655.35 (D) 340652.35 (E) 340656.35

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