Interest Rate Futures问题

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Suppose that you are convinced that interest rates are goingup in the near future. You decide to speculate the interest rate movement byselling 100 September 20-year T-Bond futures. The sale is executed at 101:24today. Margin requirements are $2,500 initial and $2,000 maintenance percontract. Each contract is defined as $100,000.

(1)  Yourfutures contracts require you to sell how much in T-Bonds at delivery? For whattotal amount?

(2)  How muchare you required to deposit in initial margin?

(3)  At the endof the following three days T-Bond futures settle at 101:00, 102:18, and102:24. Calculate your profit and equity on each date. Do you receive a margincall? If so, for how much?

有哪位高手可以帮忙解释一下怎么做?

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关键词：interest futures future inter Rate contract interest required deposit initial

1.一个合约价值100,000也就是到期你要deliver 1000份bond（数量按照面值算）。他说现在的挂牌的future price是101:24，所以你到期的时候的的卖价就是这个。你卖100份合约，所以你到期应该是deliver 100000份bond。
2.他说一个合约的initial margin是2500，你要卖100份，那就250000
3.盈亏很容易算，你是short position，你赚的或者亏的钱就是101:24-101:00,（102:18, and102:24）然后乘以1000再乘以100就可以了。你的position（equity）就是这些数乘以1000*100，
因为你是short position涨了才亏钱，所以第一个101:00跌了，你是不会收到margin call的。profit=24/32*1000*100
后面两个，第一个每个合约亏损26/32*1000=812.5，第二个每个合约亏损1000，都超过了500块，所以都会收到margin call，补到2000块就行了，所以第一个要补312.5，第二个要补500，总的话乘以100就可以了。