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Sunshine4ever

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tT
发表于 2013-4-12 22:59 | 只看该作者

A forward contract question

why, following, contract, question
I do not know why the following statement is true. Is there someone could explain? Thank you very much.
The price of a 90day forward contract on a 90day Treasury bill will be above the current price of a 180day Tbill.

 

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hoangvu90

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发表于 2013-4-12 22:59 | 只看该作者
Above is correct. That relationship must exist for noarb condition

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spartanag07

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发表于 2013-4-12 22:59 | 只看该作者
Thank you very much. Now I see. I misunderstood the “PRICE” of 90day fwd contract, with “CURRENT VALUE” of it.

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shootingstar

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发表于 2013-4-12 22:59 | 只看该作者
Can someone explain this in a different way?
Thanks!

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