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- 2011-7-2
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- 2014-6-28
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hi everyone
can somebody explain me how commodity arbitragte works (schweser, book 4, page 67).
it says that the investor who does not earn the convenience yield a cash and carry arbirtrage implies taht...future price is lowere than spot plust riskfree rate and storage costs.
for the commodity borrower the futures price is greater than the spot price times riskfree rate minus lease rate.
whats the difference between the commodity borrower and the investor. don't understand the roles in this contracts.
thanks for your help!! |
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发表于 2011-7-11 15:20
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