crypto / wire operation
Futures basis / cash-and-carry
totalfinance.crypto.futures_basis
Annualized basis of a dated future over spot — the cash-and-carry yield. Reports raw and percentage basis, simple and continuously-compounded annualization, contango/backwardation, and flags an arbitrage-sized basis.
| Pack / profiles | crypto / default, full |
|---|---|
| Default discovery | Included |
| Required capabilities | None |
| Effects / authorization | none / none |
| Cost / cancellation | small / Do not assume inline interruption |
| Handle-eligible inputs | None |
| Idempotency | not-applicable |
Input schema
{
"type": "object",
"properties": {
"spot": {
"type": "number",
"exclusiveMinimum": 0,
"description": "Spot price (quote currency)"
},
"future": {
"type": "number",
"exclusiveMinimum": 0,
"description": "Dated-futures price (quote currency)"
},
"timeToExpiryYears": {
"type": "number",
"exclusiveMinimum": 0,
"description": "Time to futures expiry in YEARS"
},
"financingRate": {
"type": "number",
"description": "Quote financing rate (annualized decimal) — supply to get fairFuture/richness/carryArbitrage and the cash-and-carry arbitrage flag"
},
"coinYield": {
"type": "number",
"description": "Base-coin yield (annualized decimal, e.g. staking; default 0)"
},
"arbitrageThreshold": {
"type": "number",
"description": "|carryArbitrage| above which cash-and-carry is flagged (decimal, default 0.05)"
}
},
"additionalProperties": false,
"required": [
"spot",
"future",
"timeToExpiryYears"
]
}Output schema
{
"type": "object",
"properties": {
"value": {
"description": "The computed result"
},
"assumptions": {
"type": "object",
"description": "Every applied convention, echoed"
},
"diagnostics": {
"type": "object",
"description": "Engine/method/warnings (+ convergence where iterative)"
}
},
"required": [
"value",
"assumptions",
"diagnostics"
]
}