Day 0 | Day 1 | Day 2 |

$100 | $101 | $96 |

**A**

- initial margin = $5 * 10, Maintenance margin = $2 * 10
- Day 1: Margin balance = $50 + (101-100) * 10
- Day 2: $60 + (96 - 101) x 10 = $10. Since the margin balance is below the maintenance margin, he receives a margin call: must restore his balance up to the initial margin. Variation margin = initial margin - margin balance = 50 - 10 = $40.

*Bonus Points*

- A long futures position suffers losses when futures prices fall.
- Will get the call when 5-2 = 100-x, solve for x = $97.

*Category: C++ Quant > Derivatives*

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