• Profile photo of John Moffat says

      On the date of the transaction, we calculate the interest at what the rate is on that date, and calculate the profit or loss on the futures.

      Because we are able to estimate the basis risk, we can calculate an effective interest rate on the date of the transaction that give the net effect (of using the actual rate and adding or subtracting the profit/loss on the futures). This is called the lock-in rate.

      If the tick value is given, then you can use this to calculate the profit or loss on futures, but you do not actually need to use it – you can calculate the profit or loss in the normal way (it will give the same result). I never bother using ticks :-)

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