Parisi Topic Test

Halftime · May 31, 2017, 3:22am

For question 3 they calculate the value of the forward contract as:

The 30-day forward price is F_t(T)= S₀e^(rc-γ)T= 1450.82e^{(0.0392-0.025)(30/360)}= 1,452.54

V_t(T) = PV_t,T[F_t(T) – F₀(T)],

= e^{-0.0392(30/360)}[1,452.54-1,403.22] = 49.16

I thought the value of a forward contract was S/e^γT- FP/e^Rf (from Schweser). Can anyone clarify for me please.

Halftime · May 31, 2017, 3:41am

Think I figured it out. I was just using the wrong spot rate and futures contract price for the Schweser formula. You end up with the same answer.