This may be a terminology nuance byt I think it’s important. they ask below for the VALUE of the futures contract. but we know that the value of a futures contract at expiration (and at the end of each day) is zero. They meant price right? If you look at schweser book 5 page 45 they do a similar problem in the same method but they ask for price. please advise, thank you. Assume that Globos has taken a position in the Eurodollar futures contract, it is now 60 days later and the contract is expiring. Globos interest rate forecast for 90-day LIBOR was correct. The value of the futures contract at expiration is closest to: A) $921,000. B) $980,250. C) $981,000. Your answer: C was incorrect. The correct answer was B) $980,250. The Eurodollar futures contract is based on 90-day LIBOR. The forecast for 90-day LIBOR was 7.9%. Thus, the contract price at expiration is: $1,000,000 × (1 - (0.079 × 90/360)) = $980,250. (Study Session 16, LOS 59.g)
Who’s they? Where are you getting this question from? At expiration, value = price on a future or forward.
on a futures contract, value equals zero at the end of each day because the futures price is adjusted to match the mark to market price. V = Futures price - M2M price and by they i mean schweser. they have the same problem in their book but they call the calculation finding the price, not finding the value.