Scenario margin of hedged positions

Use the scenario-margin definition (9A.17). (a) Prove Proposition 9A.12. (b) In the illustrative model of Worked example 9A.6 (forward 24,500, 13%, 7 days, one lot), the short 24,000 put has scenario margin ₹61,778 and the 24,000/23,800 put credit spread ₹11,827; the 24,000 put is worth 27.336 points and the 23,800 put 9.853. Compute the spread's maximum loss at expiry per lot and check that the scenario margin lies below it. (c) Explain why the short strangle's scenario margin (₹60,175) is smaller than the short put's.