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Quantitative Finance · शब्दावली

Theory of storage, convenience yield क्या है?

अन्य नाम: theory of storage · convenience yield

Definition 10.3 Markets III: Commodities, Energy and Crypto · अध्याय 10 — Forward Curves, Storage and Convenience Yield

The theory of storage (Kaldor, Working, Brennan) explains the futures–spot spread by the cost of storage and a benefit of holding inventory. That benefit, per unit of value and time, is the convenience yield $y_c$ : the value of being able to use the commodity now, avoiding a stock-out, keeping a plant running. With it,

F_{t,T} = S_t\,e^{(r + u - y_c)\,\tau}.

$Net convenience yield of WTI implied by contracts 1 and 2 and the 3-month Treasury bill, monthly means of daily values, January 1985 to March 2024 (months below -100\%, such as April 2020, are off the chart). The median month is close to zero; the curve was in backwardation on 45% of days. Data: EIA; FRED DTB3.$

Figure 10.2. Net convenience yield of WTI implied by contracts 1 and 2 and the 3-month Treasury bill, monthly means of daily values, January 1985 to March 2024 (months below

-100\%

, such as April 2020, are off the chart). The median month is close to zero; the curve was in backwardation on 45% of days. Data: EIA; FRED DTB3.

उदाहरण

Example 10.5 (Reading a spread)

The front WTI contract is at $80.00 and the second at $79.40, a month apart, with the rate at 4%. The net convenience yield is $0.04 - 12\ln(79.40/80.00) = 13.0\%$ a year: the market pays about 13% a year above financing to hold oil now. With the second at $80.60, it is $-5.0\%$ : storage is being paid for.

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