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Observing the negative interest bonds in Switzerland, Denmark, GErmany the value of higher presently (credit-free) outgoing cash flows seems less important than the value of lower future (credit-free) incoming cash flows, when the time of the flows is chosen. This is also the case for intertemporal rate marginal substitution (eg: pensions), but such a model is used to model a margin rate and not the whole rate.

When using an utility function for example, does it make sense to optimize the portfolio not to maximize prezent value in base currency, but to minimize the error to get future liquidities right in the currencies of interest. Or you do not scale your prices to the base currency at all, but to future number units of a bond, which is the number you try to maximize.

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I don't understand quite what you're suggesting or asking. Can you give us an example with specific instruments and trades? Marking to Market means calculating the current market value of an instrument. Whatever you may think of the value of a flow, its value today is what counts. –  Phil H Sep 11 '12 at 13:24
I mean marking to the t_f - "future"'s market, not to t_0 -today's market: it is the value at t_f that counts. It is a sort of liquidity premium/spread for a given liquidity horizon: Say you have i_0=10^9 CHF invested/given at t_0 and you want/need to be sure that you have l_f=9*10^9 CHF liquid/received at t_f. Than you optimize/calibrate your model to show that you have l_f at t_f, and not to have i_0 at t_0.(Because the utility of the l_f is larger than the utility of i_o where involving in the utility your line of business: FX, if you want to pay retirement, fixed equity if in housing...) –  user7056 Sep 12 '12 at 15:28

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