Book 5 page 276,在倒数第三段有这样几句话来解释roll yeild为什么在backwardation的时候是positive,在contango的时候是negative,可是....理解能力太有限,这段话看了十次,还是不明白.
请教各位啊!!!!!!
原文: For a future or forward in backwardation the roll yeild is positive,since an unchanged spot price at contract settlement would mean the futures/forward price increase over the life of the contract,and the investor would have gains at settlement.
晕了,backwardation,future price应该比spot低, 而spot price unchanged至settlement,future/forward price应该比这个spot低,而不是比其高,书上的图表里,描点方向向下.我实在不能理解这段话啊......
有谁可以指点一下啊?非常感谢啊! | 
发表于 2009-4-5 01:52
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