Exercise Solution 8.6

1. A spot-next loan commences in 2 trading days, which is τ(2) basis days from time 0. It matures in 3 business days, which is τ(3) basis days from time 0.
2. Time 1 is in τ(1) basis days, so the loan commences τ(2) – τ(1) basis days from time 1. It matures τ(3) – τ(1) basis days from time 1.