Question
Copper spot price is $5.00 a pound. The cost of carry for copper is 7.00% and the current risk free rate is 8.00%. The future
Copper spot price is $5.00 a pound. The cost of carry for copper is 7.00% and the current risk free rate is 8.00%. The future price is $5.25 for delivery in 1-year. What is the convenience yield on copper?
The answer is 2.121%
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Handbook Of Asset And Liability Management Volume 2
Authors: S. A. Zenios, W. T. Ziemba
1st Edition
0444528024, 978-0444528025
