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柚柚_柚 · 2020年08月03日

问一道题:NO.PZ2020012005000034 [ FRM I ]

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
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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