q4 Daikon June 2015 UNEXPIRED BASIS

This topic has 3 replies, 3 voices, and was last updated 8 years ago by John Moffat.

Viewing 4 posts - 1 through 4 (of 4 total)

Author
Posts
September 16, 2015 at 7:02 am #272081
lonyovko
Member
- Topics: 3
- Replies: 1
Can you explain how the 2/7 is derived for unexpired basis please?
Is the 2 because the future expires in feb so March and April are not covered by the future?
What months does the 7 relate to?
Thanks
September 16, 2015 at 10:24 am #272118
John Moffat
Keymaster
- Topics: 57
- Replies: 54843
The futures expire in December, which is 7 months from now.
The loan starts in 5 months time and so that is when the futures deal will be closed. There will therefore be 2 months unexpired.
I do suggest that you watch the free lectures on futures and options.
August 30, 2017 at 7:33 pm #404470
parisnaaa
Member
- Topics: 32
- Replies: 92
Hi John.
Why is the borrowing cost 136000 instead of 867000? Is it ok if I take 867000 borrowing cost in the exam?
August 31, 2017 at 7:33 am #404536
John Moffat
Keymaster
- Topics: 57
- Replies: 54843
The borrowing cost is 867,000. 136,000 is the extra cost.
It is fine to take 867000 provided obviously that you explain properly.
Author
Posts

Viewing 4 posts - 1 through 4 (of 4 total)

The topic ‘q4 Daikon June 2015 UNEXPIRED BASIS’ is closed to new replies.