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currency futures

This topic has 1 reply, 2 voices, and was last updated 10 years ago by John Moffat.

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November 25, 2015 at 9:30 am #285127
tasvitswa
Member
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i can’t figure out how to estimate the futures closing price using the basis risk approach….do we ADD or SUBTRACT the unexpired basis risk to the current future price, how do we do that?
November 25, 2015 at 11:05 am #285148
John Moffat
Keymaster
- Topics: 57
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If the current futures price is higher than the current spot, then it will always be higher (and vice versa) – the two will just get closer together. That is the only way of knowing whether to add or subtract.
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