20% off ACCA & CIMA Books

OpenTuition recommends the new interactive BPP books for December 2024 exams.
Get your discount code >>

currency futures

This topic has 1 reply, 2 voices, and was last updated 9 years ago by John Moffat.

Viewing 2 posts - 1 through 2 (of 2 total)

Author
Posts
November 25, 2015 at 9:30 am #285127
tasvitswa
Member
- Topics: 2
- Replies: 3
i can’t figure out how to estimate the futures closing price using the basis risk approach….do we ADD or SUBTRACT the unexpired basis risk to the current future price, how do we do that?
November 25, 2015 at 11:05 am #285148
John Moffat
Keymaster
- Topics: 57
- Replies: 54478
If the current futures price is higher than the current spot, then it will always be higher (and vice versa) – the two will just get closer together. That is the only way of knowing whether to add or subtract.
Author
Posts

Viewing 2 posts - 1 through 2 (of 2 total)

You must be logged in to reply to this topic.