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John Moffat.
John Moffat.-
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mehazia
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calculation of futures price
Predicted futures rate at the end of May = 1.0292 + (6/7 × (1.0369 – 1.0292)) = 1.0358 (when the June futures contract is closed out in May).we always generally take mid point for spot for the calculation of the same be it with or without the lock in style of approach.
right?
but in this situation they just took the borrowing rate while calculating the basis.why? and doing it in the mid point approach is giving a -ve value too, how to go about with the answer.
And
isnt it supposed to be 1/7 as the ratio as from May to June 1 mnth duration and a total of 7 mnths?
why is it 6/7 in the answer.mehazia
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30 nov 31 may 30 june
mid point 1.03005 1.03494 0
futures 1.0369 1.03592 0
1/7 -0.00685 -0.00098 0
7 mnths 1 mnth
this is the answer i got is it ok …or its fine..
I follow the method you teach only.please help.
thank you
John Moffat
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Yes, that does seem fine 🙂
mehazia
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