In the following image :
I am not able to understand how, the final value of strategy B can be equal to $e^{r_{GBP}T}F(0,T)$
According to me it should be just $F(0,T)$
My reasoning is that when you received 1 pound and invested it, you’ll get $e^{r_{GBP}T}$ pounds in return. But we use that to cover our short position in the forward contract entered at time 0, so at the end we’re only left with the forward price $F(0,T)$ paid to us at time T.
Please correct me where I am going wrong.
Source of image : Mathematical Finance : An Introduction to Financial Engineering by Marek Capinski and Tomasz Zastawniak