Todos os livros

Profissional

Apps Sobre Coach Entrar Começar a ler

Quantitative Finance · Glossário

O que é Cost of carry and fair value?

Também chamado de: cost of carry · fair value

Definition 21.2 Markets I: The Ecosystem and Exchange-Traded Markets · Capítulo 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.
Ler no capítulo →