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lunarfollies

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发表于 2011-7-13 16:24 | 显示全部帖子

Future on Treasuries v Forwards on Bonds

There are 2 formulas
Forward on Bonds = [ Spot - PV (coupons) ] * (1+rf)^t

Futures on Treasuries = Spot (1 + rf)^ - Future value of coupons

One is using FV and other using PV, are they both same?
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