Q&A: What's the end-of-day P&L if an investor...

...purchases 2 Treasury futures contracts at 103 and the contracts are marked to the market at a price of 100?

The investor has to pay the clearing house 2 * (103,000 - 100,000) = $6,000. (Marked to market means contracts are adjusted daily to reflect the price changes and Investors are liable for gains or losses.)

Category: C++ Quant > Derivatives > Futures

No comments:

Post a Comment