Keshi dec 2014

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November 22, 2017 at 7:11 pm #417476
hj
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hello sir
I dont understand the 5th paragraph in this question and why have they stated the the current basis points and why are we using the the basis points on 1st Feb? please explain
As in how is the spot – libor minus feb basis substituting for the step of finding unexpired basis and then finding out the closing price?
November 23, 2017 at 9:04 am #417547
John Moffat
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Again I must ask – have you watched my free lectures on interest rate risk management (because you cannot expect me to type out all my lectures here) ?
The basis each time is the difference between the futures price and the interest rate as stated as a futures price.
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