New answers tagged

1

Have you seen formulae for stocks where a dividend yield $q$ pops up? The same idea applies here and is more general a part of the notion of cost of carry. In general, $$F_t=S_te^{b(T-t)},$$ where $b$ is the cost of carry, i.e. $$b=\text{Cost from holding the asset} - \text{benefits from holding the asset}.$$ For a stock, you gain the dividend yield $q$ but ...


0

As Alex said, as long as you apply all formulae correctly, you will always get the same (correct) results. In praxis, you often find rates being used in a discrete setting whereas academics and model developers tend to prefer continuous time setting. The former is closer to the real life (where bond coupons, for instance, occur every 6 months). The latter is ...


1

By Close do you mean the Last Price? I think what you mean is technically known as the Daily Settlement price at the CME, it is described here https://www.cmegroup.com/content/dam/cmegroup/market-regulation/rule-filings/2018/01/18-008_APPAF.pdf In essence it is based on the combined VWAP of the big S&P and mini S&P in the last 30 seconds. There ...


2

The Treasury Bond Basis: An in-Depth Analysis for Hedgers, Speculators, and Arbitrageurs by Galen Burghardt and Terry Belton is a good book on Treasury Futures.


3

There are some slight inaccuracies in using term basis. You probably meant strategies which profit from carry/futures roll. There are a lot of variations of carry/roll strategies on different markets. I can point you to: 1/ FX carry - can be easily traded using futures 2/ Term structure/carry in commodities 3/ Term structure/carry in bond futures 4/ Term ...


Top 50 recent answers are included