- This topic has 3 replies, 2 voices, and was last updated 4 years ago by
.
- Posts
Hello Sir, I have questions from past year paper in Dec 2014 (Q2 Keshi co).
How to calculate the unexpired basis ( 22 points on 1 Feb 2015, provided in the question) by workings?
Is it calculate by 100 – 3.8 – 95.48 =0.72 x 2/7 =0.21??
Question said, assume today is 1 Dec 2014 today, Keshi co borrow $18,000,000 on 1 Feb 2015 for 7 months.
$March options are provided
March calls 0.882 strike price 95.50 March put 0.662
March call 0.648 strike price 96.00 March put 0.902
Libor currently 3.8%
Variable rate of Libor plus 40 basis
Fixed rate 5.5%
Interest rate could be increase or decrease by 0.5%?We cannot calculate the basis on 1 February because we do not know the current futures price and therefore cannot calculate the current basis.
The question does not require you to calculate the unexpired basis because it is given in the question.
(There is no need to type out the question because I have copies of all past exam questions 🙂 )
I see, we cannot calculate the future as we do not have current future.
Thanks a lot, Sir.
- The topic ‘Keshi co unexpired basis’ is closed to new replies.