From the course: Derivatives Fundamentals

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Futures contract pricing: Excel demonstration

Futures contract pricing: Excel demonstration

From the course: Derivatives Fundamentals

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Futures contract pricing: Excel demonstration

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- [Instructor] Okay, let's calculate margins by building a small model that will calculate whether there will be a margin call. This contract is for three days and the prices are captured here in row 26. Just a quick reminder, everything that's blue font is an input and everything that's in black font is a formula. So I've already also calculated the daily price movements in row 27, and I've also entered where our margin account starts, and that's the initial margin which is deposited with the exchange, which is 5,000 per contract times 10 contracts. Next I'm going to calculate the number of ticks that the price has moved each day. We do this by taking the price movement and just dividing it by the tick size, which is 1 cent a barrel. That gives me 110 ticks. Now because I want to copy this across, what I'm going to do is I'm going to lock sell C 21 with dollar signs, and then I'm going to copy this across. Knowing the number of ticks allows us to quickly calculate changes in our…

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