Time to Maturity

89578251 · March 29th, 2011, 5:05 am

We all know that this is the way to calculate the theoretical fair price of futures F=S0*exp((r-d)*(T-t)).For (T-t), is it 1. trading days till the expiration/252 or 2. normal days till the expiration/365?

EndOfTheWorld · March 29th, 2011, 6:13 am

None, you should use: - calendar days for tenor so T = (num calendar days)/basis - discrete divs instead of div yield