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Hi Sir, when calculating futures price for currency futures how do you determine when to add or subtract basis?
Do you subtract/add basis from the SPOT RATE or the EXPECTED FUTURES PRICE?If the current futures price is higher than the current spot rate, then it will always be higher.
If the current futures price is lower than the current spot rate, then it will always be lower.
This determines whether you need to add or subtract 🙂
I understand. Thanks.
After you have calculated the closing basis (the remaining months to expiry multiplied by the basis), do you minus (or add whichever applies) to the Spot rate or the Current futures price?
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