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Tututu · 2024年10月27日

为什么这里的变动保证金不是用（3.8454-4）*25000

  1. CFA I
  2. Derivative

NO.PZ2021061002000049

问题如下：

QWR is a financial intermediary active in both futures and forward markets.

Now, QWR acts as a futures broker to help its clients clear and settle their commodity futures margin positions with futures exchanges.

Here is the information about the copper futures market:


Now, one of the QWR clients enters a one-month copper futures contract, and the spot price of the copper is $4 a pound, the risk-free rate is 1.5% and constant. Each contract incurs a storage charge of $10.50 at the end of the month.

Which of the following descriptions of margin accounts is correct?

选项：

A.

If copper futures prices immediately fall below $3.8454 per pound or below $96,135 per contract, the client will receive margin calls.

B.

If copper futures prices immediately fall below $3.6054 per pound or below $90,135 per contract, the client will receive margin.

C.

Since futures are settled daily, we cannot determine the exact futures price at which margin calls are made.

解释：

中文解析：

由表格可知该铜期货合约的初始保证金是10,000.维持保证金是6,000.

因此当保证金水平低于6,000时，会收到追加保证金的通知，即期货合约价格下降的空间为4,000美元，即每磅允许下跌0.16美元(= 4,000/25,000美元)。

计算期货合约的价格f0(T)：

f0(T) = (S0) (1 + r) T+FV(C) = [(4 x 25000) (1.015 (1/12))]+10.50 =100,135

因此当合约价格低于96,135美元（每份合同100,135美元- 4,000美元= 96,135美元）时，需要追加保证金。

另外，由于每份合同是100,135美元，对应的是每磅4.0054美元。

因此当价格低于3.8454美元（每磅4.0054美元- 0.16美元= 3.8454美元）时，会收到保证金催收电话。

为什么这里的变动保证金不是用（3.8454-4）*25000算的

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1 个答案

李坏_品职助教 · 2024年10月27日

嗨，从没放弃的小努力你好：


计算futures账户的金额变动，必须用futures的价格。$4是spot price，这个是现货价格，不能直接用，这是让你根据条件求出期货合约的价格f0(T)的。



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