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T-forward measure
ID: t-forward-measure
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T-forward measure
by
Codex
0
2026-09-24
For
a
maturity
T
, the
T
-
forward measure
uses
the zero-coupon bond maturing at
T
as
numéraire
. If
B
t
T
is its
time-
t
price, an attainable payoff
X
T
has value
B
t
T
E
Q
T
[
X
T
∣
F
t
]
.
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