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Prove that , ? t F T 2 t T 1 ( 1 + ? T 1 r 2 ) + ? T 1 C

Prove that

, ?_{t} F_{T 2} t_{T 1} (1 + ?_{T 1 r 2}) + ?_{T 1} C_{T 2}

using a pure arbitrage argument where

t

is today,

T_{1}

and

T_{2}

are maturity dates and

t

Ignore marking

- t o -

the

-

market.

a

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