Question
4. Suppose you enter into a CHF futures contract (contract size = 125,000 CHF) as the...
4. Suppose you enter into a CHF futures contract (contract size = 125,000 CHF) as the seller at the end of the day on day 0 at a closing futures price of 0.7335 USD/CHF. Futures prices then evolve as 0.7391 USD/CHF on day 1, 0.7388 USD/CHF on day 2, 0.7352 USD/CHF on day 3, and 0.7297 USD/CHF on day 4. What would your cash flows be at the end of every day? Your initial margin is $2000 and your maintenance margin is $1400.
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