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Thank You so Much Sir! It really helped me alot and cleared alot of confusions! Thank you so much again!
Sir,
Thank you so much for your reply. I really helped me. Sir can you please tell me just two more thing.:
1) As in your answer above, Will the unexpired basis be always deducted from the opening futures price?? And
2) If, for example, Instead of spot price, forward rate is given on transaction date, Then can the closing futures price be calculated? If you have a lecture regarding it, Kindly tell me which one is it!
Thank you So much for you reply!
Sir,
You said
“Current spot (1.20) + change in basis (0.15) which is 1.35. This is the lock-in rate and will be the net effect whatever happens to spot (try it with other spots on the date of the transaction).
Alternatively you can get the lock-in rate by taking the current futures price (1.40) – basis at date of transaction (0.05) which again is 1.35. (Whichever way you find easiest to remember )”Will it always b like this? Like you have to deduct the unexpired basis fromthe opening futures price to determine the closing futures price?? or is there a different method to determine the closing futures Price? Kindly help me. I always get confused in how to determine the CLOSING FUTURES PRICE? Please help.
And if possible, help me through june 2011 attempt question no. 2 ! 🙁
Thank You so Much sir John Moffat .! This problem was a pain! that’s why i posted twice.! 🙂
Thanks again.Hello.
I know the concept of basis risk but i am having a difficulty in using it. When determining the futures closing price, whether the basis points adds up in the futures price or deducted from the futures price? Kindly help me.
Hello.
I know the concept of basis risk but i am having a difficulty in using it. When determining the futures closing price, whether the basis points adds up in the futures price or deducted from the futures price? Kindly help me.