The basis of a future is the difference between its price and the spot price of its underlying, here future minus spot. It converges to zero at expiry, because at expiry the future is the underlying.
Quantitative Finance · Begrippenlijst
Quantitative Finance · Begrippenlijst
The basis of a future is the difference between its price and the spot price of its underlying, here future minus spot. It converges to zero at expiry, because at expiry the future is the underlying.