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The current value of an S&R futures is 1000$. You buy 50 futures on the S&R and the contract size is 500$. The margin is settled on a weekly basis and the margin is 12.5% of the notional value. Margin calls are made as soon as the the margin is below 75% of the initial margin level. We assume that r = 5%. Use an Excel spreadsheet to calculate the profit over the whole period for a) Futures and b) Forward contract. Upload your Excel Spreadsheet with the detailed calculations.
Week
Futures Price
0
1000
1
1000.8758
2
1049.7287
3
1000.233652
4
1090.6103
5
1031.3506
6
1068.291831
7
943.4941
8
1000.7646
9
1000.056343
10
1000.7060
11
1000.1154
12
1000.142013
13
998.3606
14
1024.8248
15
1029.59584
16
934.9980
17
1066.0310
18
1098.829283
19
1000.8389
20
1050.2562
21
916.6526633
22
932.3819
23
1074.1541
24
1000.836095
25
1000.8536
26
1000.9763
27
1000.339745
28
1043.9483
29
1000.8804
30
942.69728
31
1000.6212
32
1099.8170
33
1097.465249
34
1014.5519
35
1000.7180
36
977.1972236
37
940.3342
38
932.2331
39
998.2996464
40
1096.6308
41
1000.4736
42
1045.876523
43
1013.5664
44
1000.1654
45
1059.384213
46
991.1452
47
1021.9621
48
964.1776909
49
1068.3488
50
1000.3349
51
1000.086655
52
1044.1540
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