aidebaobao

This chapter makes me crazy !!!

Let's use an example.

F0 = 10, S0 = 5, Ft = St = 15

At time 0:
Portfolio = 100 CHF = 500 USD

At time t:
Portfolio value = 100*15 = 1500 USD
Futures value = 100 * (15 - 10) = 500 USD
Total = 1500 - 500 = 1000 USD

1000 USD > 500 USD
Isn't it the result of basis risk that the final amount is not the same as the beginning one ?



Edited 1 time(s). Last edit at Sunday, May 1, 2011 at 03:12PM by bern.