May someone help me on the question on technical articles on Titans on how the unexpired basis risk was calculated. I managed to find the 0.035 but cant figure out where the 0.5 is coming from . Help
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Basis risk calculation
9y ago#1The loan starts in 2 weeks time i.e 0.5 months on 1 January.
March futures end of 31 March which is therefore in 3.5 months time.
The basis falls linearly to zero over the life of the future and will therefore fall by 0.5/3.5 of the current basis.
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