Is there a common approach to measure how a forward contract is performing?

Here's what I'm thinking, each day you would price your forward with the next formula.

$$ F_t = S_0 e^{-r_f T}-Ke^{-r T} = (S_0 e^{(r-r_f) T}-K)e^{-r T}=(FWD_t -K)e^{-r T} $$

With $K$ being the forward price originally agreed.

Now I'd think a common approach for the daily return would be:

$$ r_t = (\frac{F_{t}}{F_{t-1}}-1) $$

However usually $F_0= 0$, which would create a problem for return of the first day. Is there any other common practice to measure this?


  • $\begingroup$ In the first equation what are $r$ and $r_f$? $\endgroup$
    – nbbo2
    Jul 8, 2022 at 16:00
  • 1
    $\begingroup$ risk free domestic rate and risk free foreign rate respectively $\endgroup$ Jul 26, 2022 at 3:15


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