Microsoft PowerPoint - PoF.ppt

Exampleƒ 153

On

Wednesday

, an investor goes

long

a future on

HKD 1

million

at an

exercise price of TWD/HKD 3.3764

. The

contract

expires on Tuesday next week

.

ƒ

daily settlement prices TWK/HKDWed: 3.3776; Thu: 3.3421; Fri:

3.3990; Mon: 3.3428; Tue: 3.3290

ƒ

initial margin = TWD 200000

ƒ

maintenance margin = TWD 150000

ƒ

The investor withdraws money from the margin account whenever she is entitled to do so

ƒ

At the close of each day, show th

e position of the margin account,

the size of the margin call if

required, and withdrawals of the

investor. Also calculate the final settlement.
Derivative securities: Futures - Introduction