NO.PZ2020012005000038
问题如下:
Suppose that the storage costs for crude oil are USD 2 per barrel per year payable at the beginning of the year. The current spot price is USD 75, and the two-year futures price is USD 72. The risk-free interest rate is 8% per annum (compounded annually). Estimate the convenience yield of crude oil per year.
解释:
The present value of the storage costs per barrel over two years is
2 + 2/ 1.08 = 3.85
The convenience yield Y is given by solving:
The solution is
that is, the convenience yield is about 13% per year.
无风险利率相当于折现率,便利性率相当于收益率吗?