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Please can you help me with this question:
– for calculating the futures in part b the unexpired basis is 2/6, I would have thought it would just be 1/6. Using the method as per OT lectures I took theres to be 6months hence the difference should be the 0.54 * 1/6?
Thanks
‘Now’ is 1 January, and the June futures expire on 30 June, which is six months away.
The borrowing will start on 1 May i.e. 4 months from now. Therefore there will be 2 months unexpired (May and June).
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