how did we know the unexpired basis months as nowhere the dates have been given
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also why is the predicted lock in rate added here when in question gogarth it was subtracted
why are we taking the higher spot rate here since its not $ to CHF arent we supposed to take the lower rate
2y ago#3We do not need dates because the transaction is in 4 months time and we know the futures prices for futures maturing in 3 months time and in 4 months time.
2y ago#4The futures prices and the current spot rates must converge towards zero, and therefore the lock-in rate is always between the two. That determines whether we add or subtract.
2y ago#5I explain how to decide which rate to use in the first of my free lectures on foreign exchange risk management.
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