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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Convenience yield ： ウィキペディア英語版 Convenience yield A convenience yield is an adjustment to the cost of carry in the non-arbitrage pricing formula for forward prices in markets with trading constraints. Let $F\_$ be the forward price of an asset with initial price $S\_t$ and maturity $T$. Suppose that $r$ is the continuously compounded interest rate for one year. Then, the non-arbitrage pricing formula should be $F\_\; =\; S\_t\; \backslash cdot\; e^$ However, this relationship does not hold in most commodity markets, partly because of the inability of investors and speculators to short the underlying asset, $S\_t$. Instead, there is a correction to the forward pricing formula given by the convenience yield $c$. Hence $F\_\; =\; S\_t\; \backslash cdot\; e^$ This makes it possible for backwardation to be observable. ==Example== A trader has observed that the price of 6-month ($T$) gold futures price (F) is $1,300 per troy ounce, whereas the spot price (S) is $1,371 per troy ounce. The (not compounded) borrowing rate for a 6-month loan ($r$) is 3.5% per annum, and storage cost for gold is negligible (0%). Since we know we have the relation: $F\; =\; S\; \backslash left(1\; +\; (r\; -\; c)\; T\; \backslash right)$ What is the convenience yield implied by the futures price? From the formula above, we isolate the convenience yield ($c$), and we obtain: $c\; =\; r\; +\; \backslash frac\; \backslash left(1\; -\; \backslash frac\; \backslash right)$ $c\; =\; 0.035\; +\; \backslash frac\; \backslash left(1\; -\; \backslash frac\; \backslash right)=\; 0.13857\; =\; 13.9\backslash \%$ (per annum, not compounded) For information, if we had a continuously compounded 6-month borrowing rate and if we were looking for the continuously compounded convenience yield, we would have the formula: $F\; =\; S\; \backslash cdot\; e^$ And the convenience yield would therefore be: $c\; =\; r\; -\; \backslash frac\; \backslash ln\backslash left(\; \backslash frac\; \backslash right)$ $c\; =\; 0.035\; -\; \backslash frac\; \backslash times\; \backslash ln\backslash left(\; \backslash frac\; \backslash right)\; =\; 0.14135\; =\; 14.1\backslash \%$ (per annum, continuously compounded) 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Convenience yield」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.