Currency Futures spot rates

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June 8, 2023 at 6:00 pm #686554
Ace1133
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When doing the Basis calculation for Currency Futures – should I be using the mid market spot rate – or the relevant spot rate depending on whether I am buying or selling the counter currency?
I’ve seen in past exam questions either one being used – so find it confusing
June 8, 2023 at 6:04 pm #686557
John Moffat
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There is a logic behind using both of them and the examiner accepts either (the final answer is slightly different, but as always that it irrelevant 🙂 )
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