MTM forward contract

CFA General
#1

Hi all,

When calculating the MTM of a forward contract, what forward market price should I be using?

  1. The forward market price of the commodity when the contract should be maturing?

or

  1. Today’s forward market price of the commodity?

Thanks

#2

Say you entered into a 6 month forward contract.

3 months have gone by and you’d like to close the forward position with an offsetting forward position.

you’d choose the forward expiring in 3 months to close your own forward contract that has 3 months left.

#3

= (New Forward Price - Old Forward Price) /( risk free rate)t

#4

Thank you, but when you say New forward market price and Old forward price, you mean New = Market price and old = contract price?

#5

Delete