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罗密欧C · 2020年02月10日

问一道题：NO.PZ2020012005000038

  1. FRM I
  2. Financial Markets And Products

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.

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


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1 个答案

品职答疑小助手雍 · 2020年02月11日

同学你好，因为要算的是2年的storage cost，第一年不用折现直接是2，第二年的成本要折现才能加。

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