Question: You have purchased 1 Eurodollar contract at a price of Q0 = 94.13, with an initial margin of 5%. You keep the contract for 5 days and then sell it by taking the opposite position. In the meantime, you observe the following settlement prices:
{Q1 = 94.23, Q2 = 94.03, Q3 = 93.93, Q4 = 93.43, Q5 = 93.53}
a. Calculate the string of mark-to-market losses or gains.
b. Suppose the spot interest rate during this 5-day period was unchanged at 6.9%. What is the total interest gained or paid on the clearing firm account?
c. What are the total gains and losses at settlement?