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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Related Book For
ISE Investments
ISBN: 9781266085963
13th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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