Keshi Co. – Dec 2014

This topic has 1 reply, 2 voices, and was last updated 6 years ago by John Moffat.

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November 6, 2019 at 3:27 pm #551696
kwhite3782
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The question does not specify a current future price but does specify current LIBOR as well as the current basis. How does one determine whether to add or subtract the basis from the LIBOR
November 7, 2019 at 8:13 am #551745
John Moffat
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As I explain in my free lectures, the ‘lock-in’ rate must always be between the current LIBOR and the current futures price. Depending on which is the lower of the two determines whether to add or subtract the basis.
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