unexpected-strengthening
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YouTube T3-05: Basis risk is about an unexpected weakening or strengthening
Basis = Spot price - Futures price; i.e., b(0) = S(0) - F(0, t). Unexpected weakening (strengthening) of the basis helps (hurts) the long hedger. David's XLS is here: https://www.dropbox.com/s/m8gu9f3hc5ql7fq/030718-forward-basis.xlsx?st=xr9ml553&dl=0- Nicole Seaman
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- basis-risk unexpected-strengthening unexpected-weakening
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- Forum: P1.T3 Financial Markets & Products