Forums › Ask ACCA Tutor Forums › Ask the Tutor ACCA AFM Exams › my question is again from KYT inc where JOHN MOFFAT had replied
- This topic has 3 replies, 2 voices, and was last updated 10 years ago by John Moffat.
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- April 7, 2014 at 11:38 am #164613
you had already replied me in this case of KYT but I still need some help to understand it totally
sir I would like to modify my original question on KYT but I would like to test my understanding with yours help by testing my own question and answer for simplicity I have just modified the original question only in 2 things are being changed here and other than this are as it is and that is spot price at 1 September is 135 yen/$ instead of 120 yen/$1 and future price on future contract on September is 0.007585 instead of 0.007985
Yen currency future contract on SIMEX ( Singapore monetary exchange)
Contract size 12,500,000.contract size are in us$ per yen contract price
September 0.007585
December .008250 assume that contract mature at the end of month.only spot price on ! September and future price on future contract of September future are changed except this all other are as it is
Required
what is basis ?
and the expected future price in future contract on 1 September?Answer is as follows
the yen is depreciating in spot and in future contract price and the basis is 128.15-131.84=3.69 yen. And the expected basis on 2 months time is 1.23 yen (3.69/3)
The expected future price on 1 September is therefore 1.23 yen above the spot price of 135 yen/$1 .and this is 136.23 yen/$1 (135+1.23)is my answer correct or not according to my question
April 7, 2014 at 12:47 pm #164620Yes – that is correct 🙂
April 8, 2014 at 6:42 am #164699thank you very much….. john moffat
April 8, 2014 at 6:44 am #164701You are welcome 🙂
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