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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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上一主题:【fixed-income yield】notes课后题两道的差别和解释
下一主题:question about BSM model