wilmott.com

Posted: **May 23rd, 2017, 1:24 pm**

Dear all, what would be the difference between FX forward and FX futures pricing formulas, both in continuous and discrete time, for stochastic and non-stochastic interest rates?

Is there also a good reference briefly explaining this issue?

Your answers would be greatly appreciated.

Posted: **May 26th, 2017, 12:06 pm**

Is my understanding correct that in case of stochastic interest rates (and continuous time and compounding) the FX forward price will be given by the interest rate parity

[$]F_0 = S_0 e^{(r_d-r_f)(T-t)}[$],

but FX futures prices is NOT equal to [$]F_0[$] (even though perhaps close to [$]F_0[$])??

Posted: **May 26th, 2017, 6:13 pm**

Here's a good classic discussion on the difference between forwards and futures: link

wilmott.com

Valuing Currency Futures

Valuing Currency Futures

Re: Valuing Currency Futures

Re: Valuing Currency Futures