I have now some experience in trading in general and in trading futures.

But there is one thing I do not understand.

I will describe my problem in a simple manner in case there is an easy/known answer and I will give some more details/calculation later if necessary.

When you price a future on a stock, and we assume there is no dividend paid during the period to maturity and we only consider the financing cost in the futures price, you get:

F = P * (1+r)^T

where r is the risk free rate and T is the time to maturity.

I think everybody will agree on that.

So let's say you buy this future. If you wait until maturity, I have no problem. But if you offset your position one period later by selling this same contract, the profit or loss will already be credited on your account. But the financing costs are based on the time to maturity, therefore you should receive this PNL at the maturity of the contract, not when you offset it. Or it should be discounted, no?

So, where am I wrong?

Thank you in advance for your help, I really cant get my head around this.

El Popino