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Hi,
I am really struggling to work out the rule of unexpired basis risk when working out the closing future rate for both Interest/Currency Futures.
I think it looks like – (date wen funds are received/paid to the futures loan start date) / (todays date to loan term future)
Ie – if today is 1 Jan, we borrow the funds on 1 May to repay in 9 months time. If we select the June Future then the unexpired basis risk is
2 (May to end of June) / 6 (Jan to June)
Is this correct or can you explain a general rule ?
Thanks
JamesI do explain the general rule in my free lectures on both foreign exchange risk management and interest rate risk management.
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