Question
Assume the one-year T-bill rate is 2.05% and storage is 1.67% annually? If west Texas intermediate (WTI) oil futures for eight month's delivery is at
Assume the one-year T-bill rate is 2.05% and storage is 1.67% annually? If west Texas intermediate (WTI) oil futures for eight month's delivery is at $84.22 per barrel, and the spot price is $83.66 per barrel, what is the convenience yield for WTI?
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The convenience yield can be calculated using the formula Convenience yield Spot price Futures price ...
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Financial Reporting And Analysis
Authors: Lawrence Revsine, Daniel Collins, Bruce Johnson, Fred Mittelstaedt, Leonard Soffer
8th Edition
1260247848, 978-1260247848
