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标题: question about Fixed-Income Forward and Futures Contracts [打印本页]

作者: lizihengtotti    时间: 2016-11-1 09:20     标题: question about Fixed-Income Forward and Futures Contracts

F0(T)=QF0(T)CF(T)=Future value of underlying adjusted for carry cash flows=FV0,T[S0−PVCI0,T]=FV0,T[B0(T+Y)+AI0−PVCI0,T]

This equation is shown on page 296 in the book.


F0(T) = FV0,T(S0) – AIT – FVCI0,T

This second equation is shown on page 297 in the book.

Why there is “AIT” deference? Which one is correct?

Thank you.






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