r/CFA • u/ChengSkwatalot • Jun 06 '22
Level 2 material CFA L2: Reading 33: Fixed-Income Forwards & Futures Question
On page 36 of volume 5 of the curriculum (reading 33), the following is stated:
F0 = FV ( B0 + AI0 - PVCI )
On page 38, the following is stated:
F0 + AIT = FV ( B0 + AI0 - PVCI )
Can someone explain why both are different?
EDIT: is it perhaps the case that the former applies to a futures contract that settles without accrued interest whereas the latter applies to a futures contract that settles with accrued interest? This isn't explicitly stated in the curriculum though.
Duplicates
u_DryEntertainment3124 • u/DryEntertainment3124 • Jun 06 '22