mcmc

bern Wrote:
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> By the way. In the CFAI volume 5 page 302 it is
> said that a contract with the same maturity as the
> investment has no basis risk.
> Do I understand well ? Because, if the basis is
> not 0 at time 0 and is 0 at time t (Future & Spot
> converge) there is basis risk, no ?


Basis risk is zero because futures price is expected to converge to spot price at maturity.