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Basis in Interest Rate Futures

Forums › Ask ACCA Tutor Forums › Ask the Tutor ACCA AFM Exams › Basis in Interest Rate Futures

  • This topic has 3 replies, 2 voices, and was last updated 9 years ago by John Moffat.
Viewing 4 posts - 1 through 4 (of 4 total)
  • Author
    Posts
  • May 9, 2016 at 1:30 pm #314277
    aida87
    Member
    • Topics: 7
    • Replies: 10
    • ☆

    Good day, Tutor!
    Could you, please, explain and state what is the correct way to calculate basis in Interest Rate futures: is it “Spot interest rate – futures price” or “Futures price – Spot interest rate”. I guess the way we calculate the basis is important as it gives positive or negative figure.
    thank you in advance!!!

    May 9, 2016 at 3:57 pm #314289
    John Moffat
    Keymaster
    • Topics: 57
    • Replies: 54680
    • ☆☆☆☆☆

    It doesn’t matter!

    All that matters is that if the current futures price is lower then the current spot, then the futures price will stay lower than spot. If it is higher then it will stay higher.

    May 10, 2016 at 3:14 am #314357
    aida87
    Member
    • Topics: 7
    • Replies: 10
    • ☆

    Dear Tutor,
    thank you for your response!

    May 10, 2016 at 7:11 am #314374
    John Moffat
    Keymaster
    • Topics: 57
    • Replies: 54680
    • ☆☆☆☆☆

    You are welcome 🙂

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