In a flat (constant) interest rate environment, why is there no difference in the prices of futures and forward contracts?
Why would you think that there would be a difference?
storage costs?
Long pays short for storage costs either way.
What this is getting at is the preference of futures over forwards depending on the correlation of futures prices to interest rates, due to mark to market posting.
If rates are positively correlated with futures prices, there’s a preference for futures over forwards because mark to market gains can be reinvested at higher rates. So in this instance futures will carry a higher price than forwards.
In a constant (or known) rate environment, the impact to prices is neutral.