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june 14

This topic has 3 replies, 2 voices, and was last updated 10 years ago by John Moffat.

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May 11, 2015 at 2:47 pm #245267
student07
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Sir I was listening to your lecture on solution of this question 1, just wanted to know is it correct if i calculate locking rate like (1.0659-1.0647)/3=.0004
1.0647+.0004=1.0651
Thanks
May 11, 2015 at 4:22 pm #245289
John Moffat
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That’s fine 🙂
May 11, 2015 at 10:23 pm #245352
student07
Member
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Thank you sir. One more thing i wanted to adk is basis risk always in minus or does it matter minus or plus as in most of your example its minus ,and is it correct we will always deduct unexpired risk. Thanks
May 12, 2015 at 6:57 am #245391
John Moffat
Keymaster
- Topics: 57
- Replies: 54806
It could be either – the way to decide is to remember that the spot rate and the futures price get closer together over time. So the lock-in rate will always be between the current spot and the current futures price.
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