The Formula for Cost of Carry is derived in the following manner:
F = S * exp (r*t) - D.
So, r = ln((F+D)/S)/t
Where F - Futrues price
S - spot price
r - cost of carry
t - time to expiry
D - dividends to be paid during the life of the futures contract.
But while on most days nseindia.com uses this formula to calculate CoC on some days it uses some other formula. I have written to them - since to say the least it's wierd or am I missing something? Or is it a bug in their site? Besides they choose Number of days in arbitrary manner, i.e., on Friday, 14th Oct 2011 it says
The Expiry of the Current month falls on 25th of Oct, the No of days till expiry should be 11 as on Friday, 14th Oct 2011 but it takes 8 days for calculation
Hence it should be (using above formula):5.94%
Whereas it is hown as : 8.17%
Why?
P.S.: The mean CoC for the Oct Series has been 3.12% with a Standard Deviation of 2.81% which gives us a -1 to +1 σ range of 0.32% to 5.93% ... (Hic)
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