题目
The current price of Commodity X in the spot market is $42.47. Forward contracts for delivery of Commodity X in one year are trading at a price of $43.11. If the current continuously compounded annual risk-free interest rate is 7.0%, calculate the implicit lease rate for Commodity X. Holding the calculated implicit lease rate constant, would the forward market for Commodity X be in backwardation or contango if the continuously compounded annual risk-free rate immediately fell to 5.0%?
选项
A.The implicit lease rate is 1.49%. Holding this rate constant, the forward market would be in contango if the continuously compounded annual risk-free rate immediately fell to 5.0%.
B.The implicit lease rate is 5.50%. Holding this rate constant, the forward market would be in backwardation if the continuously compounded annual risk-free rate immediately fell to 5.0%.
C.The implicit lease rate is 1.49%. Holding this rate constant, the forward market would be in backwardation if the continuously compounded annual risk-free rate immediately fell to 5.0%.
D.The implicit lease rate is 5.50%. Holding this rate constant, the forward market would be in contango if the continuously compounded annual risk-free rate immediately fell to 5.0%.
答案
B
解析
「huixue_img/importSubject/1564169523723112448.png」As the forward price (43.11) is higher than the spot price (42.47), the market for Commodity X is currently in contango.If annual risk-free rate immediately fell to 5.0%, holding the lease rate constant, forwar dprice will be:「huixue_img/importSubject/1564169523798609920.png」As the forward price (42.26) is lower than the spot price (42.47), the market would be in backwardation.