I was working on some self-practice theoretical questions on derivatives today, and this question prevented me from moving forward.
I am aware that d(0,1)*d(1,T) = d(0,T) -> d(0,1) = d(0,T)/d(1,T). This leads me to think that F1 = F0*d(0,T)/d(1,T) but I am not too sure what to do with f1 and f0.
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Consider one futures and one forward contract made on the same commodity for delivery at time T. Sup-pose that this commodity can be stored for free and can be shorted and that interest rates are known to followexpectation dynamics. Let: 0 F0 represent the futures price as of time 0 (recall that from futures-forward equivalence, this is also theforward price) 0 F1 represent the futures price as of time 1 0 f0 represent the value of a forward position at time 0