[請問] 兩題金融CFA數學題求解
Q1:Which of the following statement are correct regarding the roll yield?
1)Roll yield is the yield that a futures investor captures when their futures co
ntract converges to the spot price.
2)In a backwardation future market the price rolls up to the spot price, so the
roll yield is positive
3) In contango the future price rolls down to the spot price, so the roll yield
is negative.
4) The spot price may stay constant so an investor will not earn any returns.
A 1 only
B 1 and 2 only
C 1, 2 and 3 only
D All of the above
Q2: The current spot price of a commodity is $60 and the 1-year futures price is
$62. The interest rate on the collateral is 2% per annum. On the maturity date,
the prevailing spot price of the commodity is $70. What is the total return of
the commodity contract?
A 10%
B 13.33%
C 15.33%
D 17.33%
這兩題，我不會….
也找不到答案
希望有高手幫忙回答解析及試算
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