Question
The spot price of copper is $3.18 per pound. The present value of the cost to store a pound of copper for one year is
The spot price of copper is $3.18 per pound. The present value of the cost to store a pound of copper for one year is $0.05. The risk-free interest rate is 4.8% per annum, continuously compounded, and the one-year futures price of copper is $3. What is the convenience yield (in percent)?
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Quantitative Finance: An Object-Oriented Approach In C++
Authors: Erik Schlogl, Dilip B. Madan
1st Edition
1584884797, 978-1584884798
