1. A trader enters into a short position of 20 futures contracts at an initial futures price $ 85.00. Initial margin, per contract, is $7.50. Maintenance margin, per contract, is $7.00. Each contract is for one unit of the underlying asset. Over the next three days, the contract settles at $86.00, $84.25, $85.5, his/her margin account during the period, but does post variation margin sufficient to meet any maintenance margin calls, the balance in the margin account will be：
A. $150.00 at initiation and $140.00 at settlement on day 3
B. $150.00 at initiation and $150.00 at settlement on day 3
C. $150.00 at initiation and $160.00 at settlement on day 3
Correct answer = C
当遇到MARGIN CALL时，应该回复到initial margin，该题正确解题过程应该是initial margin=20*7.5=150dollar，
第一天损失（86-85）*20=20dollar，第一天末余额为130，需要存入20dollar，余额为150
第二天收益（８６-８４.２５）*２０＝３５dollar第二天末余额为１８５dollar
第三天损失（８５.５-８４.２５）*20=２５dollar第三天末余额为160dollar
2. 四种利率衍生产品
第一种：FRAs
1) 基础资产：LIBOR
2) Descriptive Notation: 比如The term (maturity) of a forward rate agreement is 90 days and the underlying rate is 180-day LIBOR. Descriptive Notation 是3*9。
3)FRA到期日结算金的计算：
[名义本金 (市场LIBOR FRA rate) (贷款期限/360)]/[1+市场LIBOR (贷款期限/360)]
第二种：Short-Term Interest Rate Futures
1) T-bill futures:

2) Eurodollar futures

Example:
Q1. The IMM index price in yesterday s newspaper for a September Eurodollar futures contract is 95.23. What is the actual price of this contract?
Rate= 100-95.23=4.77
Actual price: 1,000,000*(1-rate*(90/360)) = 988,075
Q2. The IMM index price in today s newspaper for the contract mentioned above is 95.25. How much is the change in the actual futures price of the contract since the previous day?
New Rate= 100-95.25=4.75
New Rate- Rate=-2 basis points
The change: 2*$25=$50
第三种：Interest Rate Options
1)基础资产：利率。利率上升，call option的long方是盈利的， put option的long方是亏损的。
2)和FRA的关系：FRA=long interest rate call option + short interest rate put option
3)Expiration Date和Settlement date是不同的，而且在到期日如果Libor X（对于Call）时，才会执行。
第四种：Interest Rate Swaps
1) 定义：固定利率和浮动利率的交换
2) 特点：1）期初本金不交换；2）中间利息交换的是净值（netting）；3）期末本金也不交换。
3) 结算金：
4) (Net fixed-rate payment)t=(notional principal)(swap fixed rate LIBORt-1) (number of days/360)
5) 注意：1）上述公式是pay fixed rate一方的payment。2）用到的浮动利率是上一期的LIBOR，而不是本期的LIBOR。
？它们有什么样的关系
1. 当利率上升时，FRA的long方是盈利的，但是T-bill futures Eurodollar futures的long方是亏损的。
2. FRA=long interest rate call option + short interest rate put option
3. Interest rate swaps是一系列的FRA。