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Quantitative Finance · Glossaire

Qu'est-ce que « Cost of carry and fair value » ?

Aussi appelé : cost of carry · fair value

Definition 21.2 Markets I: The Ecosystem and Exchange-Traded Markets · Chapitre 21 — Basis, Roll and Delivery

The cost of carry of an asset is what it costs to hold it until a future date: financing, plus storage and insurance for a commodity, minus the income it pays. The fair value of a future is the spot price plus the cost of carry to expiry: the futures price at which buying the asset and selling the future earns exactly the financing rate.

The fair basis of with the index held at 6 000: interest accrues away at 0.7 point a day, and the basis jumps up each time a dividend is paid, since that dividend is no longer ahead. A basis series has this sawtooth in it before any trading happens. Data: the chapter’s build.
Figure 21.1. The fair basis of Example 21.4 with the index held at 6 000: interest accrues away at 0.7 point a day, and the basis jumps up each time a dividend is paid, since that dividend is no longer ahead. A basis series has this sawtooth in it before any trading happens. Data: the chapter’s build.
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