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。
强化课时老师说future和forward计算方法差不多，就只讲了区别。那这道题如果用forward valuation的话方法的话，F0t=［S0-PV0（I）+PVt（c）］*（1+r）^t
这个pv（c）是在括号内的，需要乘利率，为什么这里就不用了呢？
