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shashankar · 2023年12月08日

课后作业

  1. FRM I
  2. Financial Markets And Products

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.

选项：

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:

72=(75+3.85)∗(1.081+Y)272 = (75 + 3.85) * (\frac{1.08}{1+Y})^2

The solution is

Y=(78.8572)1/2∗1.08−1=0.130Y = (\frac{78.85}{72})^{1/2}*1.08-1=0.130

that is, the convenience yield is about 13% per year.

No.PZ2020012005000038 (问答题)

来源: 原版书

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.


问题：按照课程上和前面习题的答案，convenience yield就是我持有这个资产，能立刻投入生产给我带来的收益

这题我可以理解为是short position，我手上有spot，我要承担仓储费，我也可以获得convenience yield

所以为什么是除以（1+Y）^2，我可以获得这个convenience yield，难道不是乘以（1+Y）^2吗？（75+3.85）*（1+Y）^2，得不到的是减去或除以，得到的是加上或乘以



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1 个答案

DD仔_品职助教 · 2023年12月09日

嗨，从没放弃的小努力你好：


同学你好，

持有现货带来的随时可以开工的好处。收益越大，期货价格越低。

而cost相反，cost越大卖方就会转嫁给买方，期货价格就会上升

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ2020012005000038 问题如下 Suppose ththe storage costs for cru oil are US2 per barrel per yepayable the beginning of the year. The current spot priis US75, anthe two-yefutures priis US72. The risk-free interest rate is 8% per annum (compounannually). Estimate the convenienyielof cru oil per year. The present value of the storage costs per barrel over two years is2 + 2/ 1.08 = 3.85The convenienyielY is given solving: 72=(75+3.85)∗(1.081+Y)272 = (75 + 3.85) * (\frac{1.08}{1+Y})^272=(75+3.85)∗(1+Y1.08​)2The solution is Y=(78.8572)1/2∗1.08−1=0.130Y = (\frac{78.85}{72})^{1/2}*1.08-1=0.130Y=(7278.85​)1/2∗1.08−1=0.130 this, the convenienyielis about 13% per year. 助教你好，我看见题目第一句说说到cost是年初发生的，那convenienyiel每年何时发生？

2023-06-08 22:33 1 · 回答

NO.PZ2020012005000038问题如下Suppose ththe storage costs for cru oil are US2 per barrel per yepayable the beginning of the year. The current spot priis US75, anthe two-yefutures priis US72. The risk-free interest rate is 8% per annum (compounannually). Estimate the convenienyielof cru oil per year.The present value of the storage costs per barrel over two years is2 + 2/ 1.08 = 3.85The convenienyielY is given solving: 72=(75+3.85)∗(1.081+Y)272 = (75 + 3.85) * (\frac{1.08}{1+Y})^272=(75+3.85)∗(1+Y1.08​)2The solution is Y=(78.8572)1/2∗1.08−1=0.130Y = (\frac{78.85}{72})^{1/2}*1.08-1=0.130Y=(7278.85​)1/2∗1.08−1=0.130 this, the convenienyielis 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？

2023-02-23 15:10 1 · 回答

问一道题：NO.PZ2020012005000038

2020-10-12 00:01 1 · 回答

请问一下这道题带公式的话为什么U要加上 2 / 1.08 ? 2 + 2/ 1.08 = 3.85

2020-02-10 23:23 1 · 回答