goodman2011 Wrote:
-------------------------------------------------------
> lease rate is the difference of A and B ?
Can you be any more cryptic?
It's storage costs minus convenience yield.
You can also interpret it as the rate used to force the spot price and futures price to be equal, if interest costs are known.
NO EXCUSES作者: mp3bu 时间: 2011-7-11 19:36
Suppose the continuously compounded convenience yield is c, proportional to the value of the commodity. The commodity lender saves l - c by not physi- cally storing the commodity; hence, the commodity borrower pays d = c - l, compensating the lender for convenience yield less storage cost.
V5 184
A - B = convenience yield minus storage costs作者: Unforseen 时间: 2011-7-11 19:36
pfcfaataf Wrote:
-------------------------------------------------------
> Suppose the continuously compounded convenience
> yield is c, proportional to the value of the
> commodity. The commodity lender saves l - c by not
> physi- cally storing the commodity; hence, the
> commodity borrower pays d = c - l, compensating
> the lender for convenience yield less storage
> cost.
> V5 184
>
> A - B = convenience yield minus storage costs
Yeah my bad brah, I had it reverse
NO EXCUSES作者: mcmc 时间: 2011-7-11 19:36
The lease rate = commodity discount rate – growth rate
the lease payment is essentially a dividend作者: pennyless 时间: 2011-7-11 19:36
sure, it is similar to div yield, the lease rate (or convenience yield)
