I really want to punt this stuff. It may not even be hard but I have a mental stigma attached to this, swaps, and triangular arbitrage from level II. I just keep flippin the page when i see these.
cash & carry is important and probably simple ( formula based ) . It wont take long to read carefully on a Sunday morning, plus it is conceptual . Gives you an aha , and you’re done
CASH (short the futures) and CARRY IT to expiration (but the security)
ranged forwards… agh. didn’t see this nasty in schweser
mcap11 Wrote: ------------------------------------------------------- > CASH (short the futures) > > and > > CARRY IT to expiration (but the security) +1
it gets really crazy with the gold where you can lease it and have to memorize that S x E -lease rate shiz
the risk-adjusted return from beating cash&carry arbitrage is low…stay cool.
When do we borrow when we conduct cash and carry and when do we not? In VOL5 p204 1-B, gold is bought spot and the purchase amount is borrowed in p205 2-B and 2-C, spot purchase price is not borrowed. And another question: in 1-C, the present value of lease rate is deducted from spot purchase price; shouldn’t it accrue to time=1?