Hmm can't spot a mistake (I've added a decimal place to the days column for clarity). Perhaps they are doing USD-margined futures vs coin-margined?
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To err on the side of caution I would just use simple annualization everywhere since it applies to every type of contract, requires the least action on the part of the trader, and is more easily understood.
The system I set up to track premiums uses simple annualization everywhere for this reason. Compounding 8 hour interest to annual is useful primarily for generating eye-popping numbers when you need to impress someone.
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It's truly delightful when there's such depth behind a simple question – I hadn't bothered to consider the denomination of the cash flows, but makes a tonne of sense when you lay it out like that! -
@shankarobserves with this in mind (plus the Hayes comment), I'll convert everything to simple annualising. Incidentally, blindly annualising a daily risk-free rate was one of the mistakes I made on a previous internship.. worrisome that I'm not learning
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Thank you for breaking it down into simple terms. As we're on the topic of collecting funding from perps, would you consider the theoretical risk-free rate for cryptoassets to be the flat funding (0.01%) collected every 8 hours or 10.95% via simple annualisation?
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Not sure I understand the question! If you are talking about being long spot, short perpetual futures, there is nothing risk free about it.
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