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currency futures and basis Casasophia(june 11) Polytot(june 2004)

Forums › Ask ACCA Tutor Forums › Ask the Tutor ACCA AFM Exams › currency futures and basis Casasophia(june 11) Polytot(june 2004)

  • This topic has 1 reply, 2 voices, and was last updated 11 years ago by AvatarJohn Moffat.
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  • November 29, 2014 at 8:05 am #214237
    Avatarsaaninaani
    Member
    • Topics: 6
    • Replies: 4
    • ☆

    Its about the basis adjustment we make on the future spot rate to determine the lock in futures price. Sometimes the future spot rate is reduced by the basis and some times added on the future spot to determine the futures price. In june 2011 question casosophia co, the basis is being deducted from the 5-month expiry futures(1.3698) and if you see in June 2004 question Polytot plc the basis (0.0078) has been added to the futures (1.5275) to determine the lock in futures price.
    When do we add the basis and when to deduct from the future spot rate??

    Please help

    November 29, 2014 at 1:03 pm #214360
    AvatarJohn Moffat
    Keymaster
    • Topics: 57
    • Replies: 54843
    • ☆☆☆☆☆

    You do whatever makes the futures and spot to be closer together 🙂

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