sir kindly tell me how to find a remaining life of basis ?and how to find a loan deposit period in months which is use in number of contracts formula...
I can't understand why in phobos co (o8) question use 1 month in formula of finding buy rate 0.12/3 x 1=0.04.
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AFMinterest rate futures
11y ago#1If they are March futures they expire on the last day of March; June futures on the last day of June etc.
We close the futures contract on the day the loan starts and so the unexpired part is the number of months between the start of the loan and the end of the future.
In Phobos the loan starts on 1 March in 2 months time, we are using March futures which expire at end of March (which is in 3 months time).
So the basis will have fallen to 1/3 of the current basis.
(I do suggest you watch the free lectures on this where I go through the change in the basis in detail)
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