1. Nicole Seaman

    P1.T3.22.21 Convenience of commodities

    Learning objectives: Explain the formula for pricing commodity forwards. Describe an arbitrage transaction in commodity forwards and compute the potential arbitrage profit. Define the lease rate and explain how it determines the no-arbitrage values for commodity forwards and futures. Describe...
  2. Nicole Seaman

    P1.T3.22.20. Commodity Futures

    Learning objectives: Explain the key differences between commodities and financial assets. Define and apply commodity concepts such as storage costs, carry markets, lease rate, and convenience yield. Identify factors that impact prices on agricultural commodities, metals, energy, and weather...
  3. Nicole Seaman

    YouTube T3-16: Cost of Carry: convenience yield

    The convenience yield an intangible benefit of commodity ownership. It is derived from (explained by) the observed forward/futures price. David's XLS is here:
  4. Nicole Seaman

    P1.T3.717. Foreign exchange (FX) forwards and more cost of carry theory (Hull Chapter 5)

    Learning objectives: Calculate a forward foreign exchange rate using the interest rate parity relationship. Define income, storage costs, and convenience yield. Calculate the futures price on commodities incorporating income/storage costs and/or convenience yields. Questions: 717.1. Near the...