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The websites of the major commodities exchanges provide futures prices. Calculate the annualized net
convenience yield for a commodity of your choice. Retrieve the current risk free rate from the U.S.
Government treasury site. (Note: You may need to use the futures price of a contract that is about to
mature as your estimate of the current spot price.)

Anonymous answered this
814 answers

Answer :-

November 2020 contract = 1970.50

March 2021 contract = 1,996.00

Treasury Rate = 0.52%

Let y be convenience yield for 4 months

F = P*(1+r-y)^t

=> 1,996.00 = 1970.50*(1+0.52%*4/12 – y)^4

=> 1,996.00 /1970.50 = (1+0.52%*4/12 – y)

=> y = 0.00176687 – 0.00277950 = -0.10.50%

Annualized convenience yield = 3* – 0.10.50% = -0.31%

..

Here is negative yield.

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Q: The websites of the major commodities exchanges provide futures prices. Calculate the annualized net convenience
yield for a commodity of your choice. Retrieve the current risk free rate from the U.S. Government treasury site. (Note:
You may need to use the futures price of a contract that is about to mature as your estimate of the current spot price.)

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Q: The websites of the major commodities exchanges provide futures prices. Calculate the annualized net convenience
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You may need to use the futures price of a contract that is about to mature as your estimate of the current spot price.)

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Q: The websites of the major commodities exchanges provide futures prices. Calculate the annualized net convenience
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