[hanissyazana]

Hi, can you explain to me what does it meant by basis risk may be assumed to be zero at the time the contracts are closed out.

does this relate to the answer for 2 months time futures where the basis is 0 for end of june?

[hanissyazana]

Hi sir,

Why is it in question a) ii. Futures Contract in the BPP answer kit, in order to get the gain/loss in the futures market for increased interest rate, the answer given was

(0.9436-0.9478) x D500,000 x 3/12 x 90.

I dont understand where they get the 3/12?

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