Presented below is a Table of Cotton Futures prices on the dates in

column one for the maturities in columns 2 and 3 with the respective futures

prices in columns 4 and 5.

Suppose the forward interest rate between the two maturities is 1:28%continuously compounded.

a. Determine the net convenience yield between the two maturities on July

17, 2017.

b. Use this convenience yield to quote on the second maturity futures price

based on thefirst maturity price on July 31, 2017, assuming that the forward

interest rate is unchanged.

Date Maturity 1 Maturity 2 Futures 1 Futures 2

20170717 . 201805 201807 67.95 68.47

20170718 201805 201807 68.45 68.95

20170719 201805 201807 68.36 68.87

20170720 . 201805 201807 . 69.11 69.59

20170721 201805 201807 . 68.62 69.14

20170724 201805 201807 68.55 . 69.11

20170725 201805 201807 . 69.04 69.55

20170726 201805 201807 68.6 69.1

20170727 201805 201807 68.87 69.34 .

20170728 . 201805 201807 68.58 68.96

20170731 . 201805 201807 68.58 . 69.03