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The Existence of Basis Risk

Former userFormer user14y ago

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John MoffatJohn MoffatTutor14y ago#1
There will still be basis risk because as of now (31/12/2011) the interest rate will not be equal to the equivalent future price. But at the 31 March the interest rate and the equivalent futures price will be the same (the difference will be zero). And so the future price will not move by the same amount as the interest rate.
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