NO.PZ2018062007000023
问题如下：
The underlying prices of Product X and Product Y are both $10. Product X has no storage cost and convenience yield, while Product Y has a higher future value of storage cost than its convenience yield. Compared to the forward price of Product X:
选项：
A.
The forward price of Product Y is smaller
B.
The forward price of Product Y is equal
C.
The forward price of Product Y is larger
解释：
C is correct.
The forward price is the spot price compounded at the risk-free rate over the life of the contract minus the future value of those benefits plus the future value of costs. Product Y has a higher future value of storage cost (costs) than its convenience yield (benefits), therefore the forward price of Product Y is larger than X.
对于forward合约来说，标的资产在期间的cost不会真正扣掉，所以要加回，cost带给forward price的影响是正向的；相反，在期间的benefit不会享受到，所以要扣除，benefit带给forward price的影响是负向的。题目中说Y的cost>benefit，所以总体来说给Y带来的正向影响更大，Y的forward合约价格也就更大，选C。
cost大于benefit，倾向于持有远期，cost 小于benefit， 倾向于持有现货
