In forward markets, when we want to value the forward at any point prior to expiration, the general form of valuation would be spot price less the forward price locked in at initiation of the contract(discounted to the time of valuation).
In futures market, however, the value is the difference between the current futures price (and not the spot price) and the previous mark to market price.
Why is it in futures that we value the contract based on the futures price change and not the spot price? (and why is the treatment different from forward markets for that matter)??
In schweser book, page 39, it says that the value of the futures contract=current futures price-previous mark-to market price.
“if the futures price increases, the value of the long position increases”.
Moreover, in the CFA curriculum, they give an example about how to mark futures to market; the value by the end of the day is decreased on increased depending on the difference between the current futures price and the previous futures price(one day before).
For a forward contract − which is not marked to market − the value at any time is the cumulative change in value since inception.
For a futures contract − which is marked to market (at least) daily − the value is the change in value since the last marking-to-market. I suspect that they’re using the word “price” loosely here: what they mean by price is not the price of the underlying at expration (what we normally mean by the price of a futures contract), but the market price of the existing futures contract (i.e., the price of the underlying discounted back to today, less the spot price).