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