chapter-无文字金融工程专业.pptVIP

* * * * * * * * * * continued The value of a forward contract f is the profit on this contract. For forward contracts, no cash is paid out up front,so the contracts have zero value when first written. At time T (long position) How do we determine the value of the forward at time t0? 但值得注意的是，对于期货合约来说，一般较少谈及“期货合约价值”这个概念。基于期货的交易机制，由于期货每日盯市结算、每日结清浮动盈亏，因此期货合约价值在每日收盘后都归零。 * * March 3 March 17 December 　F0 = K=265.5 Value of initial/old futures contract New futures contract　K’=Ft=253.25 Both futures contracts expire Buy the old futures contract Sell the new one Deliver the two contract