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Hello John,
Quick question please… I seem to be seeing two different approaches to calculating an expected futures price. i.e
*The Unexpired basis approach
*The expired basis approachIf this is correct, could you please explain the difference and application of both approaches.
Thank you
You need to watch my free lectures on interest rate futures and also my lectures on calculating the ‘lock-in rate’.
I am sorry but I cannot type out all the lectures here 🙂
Hello John,
I have watched the lecture on lock-in rate.
Which of the figures represents each approach i.e. between 0.01 and 0.02 (basis), represents the expired basis and which is the unexpired basis?
Thank you
The expired basis is the proportion based on the number of months between ‘now’ and the date of the loan or deposit starting. The unexpired basis is the proportion based on the number of months between the date of the loan or deposit starting and the final date of the future.
Thank you John.
One more question:
Can the concept of lock-in rate as learned under foreign exchange be applied to interest rate in order to get the Effective Interest Rate?
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