Just have a quick question,
Are the (days/360) part of these formula all exponents? The book doesn’t clarify and I’m confused
Mark to market formula:
Vt=(FPt−FP)(contract size)/[1+R(days/360)]
Forward rate formula:
F=[1+RA(days/360)]/[1+RB(days/360)] * S0
Simple multiplication.
The example from Schweser LOS 13D, uses days/ 360 as an exponent.
In Econ, CFA Institute treats the risk-free rates as nominal rates, so you multiply each rate by days/360.
In Derivatives, CFA Institute treats the risk-free rates as effective rates, so you use days/365 as an exponent.
But in the schweser, economic section, it is using it as an exponent.
Vt=(FPt−FP)(contract size)/[1+R(days360)]
Vt=(1.06206−1.05358)(1,000,000)/[1+0.0116(60/360)]=8,463.64
Its a 90 day contract, 1 million CAD.
Initial Forward rate of 1.5358%
Forward rate of a 60 day contract at T=30 days = 1.06206
And the 60 day interest rate (at t=30) is .0116
I figured it out. I multiplied (60/360) by (1+r) instead of multiplying R * (60/360)
Thanks!
I do not see any exponents in 13D.
-edit - gotcha you figured it out 
Well, then this one’s easy.
Schweser’s wrong.
Check the curriculum: 2018 Level II, volume 1, reading 13, §§2.2, 2,3, pp. 524 – 532.
That’s what we like to hear!
Good for you!
Thank y’all again.
I really should be ashamed here: I could have looked at my online copy of Schweser’s 2018 Level II Study Guides.
Schweser, in fact has it correct. I apologize.