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Hi,
just with calc of basis points, after the original basis has been calculated, im having problems with the number of months to use for division to arrive at the unexpired basis. please can you let me know today. thankyou for your help.If i am not wrong, count from transaction date to close date of future or option. Then divide by total period.
khinhninswe is nearly correct (but not quite because nupurkum wanted the unexpired amount).
It is easiest to explain with an example.
Suppose that ‘now’ is 1 December. Suppose the transaction is to occur on 28 February. January, and suppose we are using March futures (which expire on 31 March).
From now to the expiry of the futures is 4 months.
For now to the date of the transaction (when we will finish the futures deal) is 3 months.So….the basis will have fallen by 3/4, and the unexpired basis will be 1/4.
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I am still confused with the calculation of the unexpired period. Please explain
For eg.there are three and half months until expiry of the contract and the funds are needed in three months time. how is the unexpired basis 1/7??
I have already explained!! If you need more then you should watch my free lecture on this.
From now to the expiry of the future is 3.5 months.
From now to the date of the transaction (when we finish the futures deal) is 3 months.So….the basis will have fallen by 3/3.5, and the unexpired basis will be 0.5/3.5 (which is the same as 1/7 if you divide top and bottom by 0.5)
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Hello everyone. I think this basis points is very difficult. I had trouble again today, it was my third atempt and i think not the last one 🙁
So, we should calculate the total basis from now until the deal expires?
So, if we are calculating for a 7 months contract begining 1of march and now it’s 1december, how this relates to futures rate?
If the contracts are for 3 months, how i can use this to hedge a 7 months loan? Thank you for the help.You really should watch the free lecture on this.
To hedge for a 7 month loan, then you have a futures deal of 7/3 time the amount of the loan (subject to the limitation of the contract size)
Hello
How do I calculate the unexpired basis if the transaction date and the expiry date are the same?If the expiry date of the options was the same as the date of the transaction then there will be no unexpired basis. Again, have you watched my free lectures on this?
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