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Time to Maturity

Posted: March 29th, 2011, 5:05 am
by 89578251
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?

Time to Maturity

Posted: March 29th, 2011, 6:13 am
by EndOfTheWorld
None, you should use: - calendar days for tenor so T = (num calendar days)/basis - discrete divs instead of div yield