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柚柚_柚 · 2020年08月03日

问一道题：NO.PZ2020012005000034 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下：

If the current spot price of gold is USD 1,250, the one-year futures price of gold is USD 1,300, and the risk-free rate is 5% per annum (annually compounded), what is an estimate of the implied gold lease rate?

解释：

Let l be the implied gold lease rate (annually com-pounded). Then:

1,300=1,250∗(1.051+l)1,300 = 1,250 * (\frac{1.05}{1+l})

so that

l =1,250* 1.05/ 1,300 - 1 = 0.0096

that is, the implied lease rate is 0.96%.

请问为什么这里要把implied lease rate在分母除呢
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1 个答案

品职答疑小助手雍 · 2020年08月03日

嗨，爱思考的PZer你好：


把lease rate类比想成convenience yield就可以的，持有它（借出去）可以获得的收益，所以要在持有成本中扣除。

你是不是想成storage cost了？


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加油吧，让我们一起遇见更好的自己！


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NO.PZ2020012005000034问题如下If the current spot priof golis US1,250, the one-yefutures priof golis US1,300, anthe risk-free rate is 5% per annum (annually compoun, whis estimate of the impliegollease rate? Let l the impliegollease rate (annually com-poun. Then:1,300=1,250∗(1.051+l)1,300 = 1,250 * (\frac{1.05}{1+l})1,300=1,250∗(1+l1.05​)so thl =1,250* 1.05/ 1,300 - 1 = 0.0096 this, the implielease rate is 0.96%.1250/（1+5%）=1300/（1+L)1+l=(1300/1250)*1.05l=0.92

2023-03-13 13:15 1 · 回答