The long positions gain or loss between time 0 and time t is Ft F0. Because

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The long position’s gain or loss between time 0 and time t is Ft

− F0. Because at the maturity date, T, FT = PT, the long’s profit if the contract is held until maturity is PT − F0, where PT is the spot price at time T and F0 is the original futures price. The short position’s profit is F0 − PT. P-636

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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