tikfed

Guys - you are both over complicating things. When you trade futures, you are trading futures. Your profit or loss has nothing to do with the spot rate but whether the futures went up or down.
Your pay-off formula is theoretical and for forwards which are not actively quoted. In real life futures are quoted on a second by second basis. The forward formula is only used by arbitrageurs to try to make a return above the risk free rate.
Again, if you hedge with futures, the only thing that matters is the price of the futures.