- This topic has 2 replies, 2 voices, and was last updated 4 years ago by
John Moffat.
John Moffat.-
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niki27
- Topics: 82
- Replies: 15
- ☆☆
Dear sir,
I had a query regarding basis risk.
I have worked out the current price (95.91) and used the futures price to determine the basis risk, but the answer in the BPP revision kit calculates it on the basis of 5 months.
Here’s whats confusing me : If today is 1 Nov 2013, February is 4 months away and May is 3 months away from Feb. So how is the 5 months being calculated?
Really appreciate it if you could answer this.
Thanks
John Moffat
- Topics: 57
- Replies: 50519
- ☆☆☆☆☆
They are dealing in March futures.
From 1 November to 31 March is 5 months.
You have clearly not watched my lectures, and you cannot expect me to type out my lectures here.
The lectures go through both foreign exchange risk management and interest rate risk management in great detail, with examples. A question on one of these two areas is guaranteed always to be asked in the exam.
John Moffat
- Topics: 57
- Replies: 50519
- ☆☆☆☆☆
They are dealing in March futures.
From 1 November to 31 March is 5 months.
You have clearly not watched my lectures, and you cannot expect me to type out my lectures here.
The lectures go through both foreign exchange risk management and interest rate risk management in great detail, with examples. A question on one of these two areas is guaranteed always to be asked in the exam.
niki27
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