S
Scarecrow
Member
So we can use futures to move towards the target structure. As per the examiner's solution, we can sell futures for the assets we don't want any more and buy futures for those we do. However, given all these futures we now have I'm surprised the margin requirements don't pop up in part iii in the examiners' report.
Presumably we could end up out of the money on any or all of these? This could be particularly problematic given the size of the US equity future being sold?
Is this an issue we should be concerned about or am I barking up the wrong tree? I suppose it depends on the term to expiry and the volatility of the asset classes?
Cheers
Presumably we could end up out of the money on any or all of these? This could be particularly problematic given the size of the US equity future being sold?
Is this an issue we should be concerned about or am I barking up the wrong tree? I suppose it depends on the term to expiry and the volatility of the asset classes?
Cheers