Pricing Forwards and Futures

Remember that the price of a forward/future contract is the agreed price of the underlying at the expiration of the contract, which has to be: \[F_T\ =\ S_0\left(1\ +\ r_f\right)^T\] where: \(T\): expiration of the forward/futures contract \(F_T\): forward/futures price of the underlying (at time \(T\)) \(S_0\): spot price of the underlying today \(r_f\): effective […]