NO.PZ2016031201000023
问题如下：
If the present value of storage costs exceeds the present value of its convenience yield, then the commodity’s forward price is most likely:
选项：
A. less than the spot price compounded at the risk-free rate.
B. the same as the spot price compounded at the risk-free rate.
C. higher than the spot price compounded at the risk-free rate.
解释：
C is correct.
When a commodity’s storage costs exceed its convenience yield benefits, the net cost of carry (benefits less costs) is negative. Subtracting this negative amount from the spot price compounded at the risk-free rate results in an addition to the compounded spot price. The result is a commodity forward price which is higher than the spot price compounded. The commodity’s forward price is less than the spot price compounded when the convenience yield benefits exceed the storage costs and the commodity’s forward price is the same as the spot price compounded when the costs equal the benefits.
中文解析：
本题考察的是远期合约的定价.
由下面的公式可知，成本是作为加项，而好处是作为减项的，因此当成本大于好处时，即增加的多而减少的少，整体会增加，从而使得FP增加，大于S0(1+rf)T 。
这道题直接想不就是持有现货成本高，所以持有远期更好，远期合约价格就会更贵。这个公式有必要记吗？
