| forwardcommodity {GUIDE} | R Documentation |
Calculate the forward value of a commodity.
Description
Function to calculate the forward value of a commodity.
Usage
forwardcommodity()
Details
The user inputs are as follows:
Spot: entered in decimals. For e.g. 105.50
Risk free Rate: entered in decimals. For e.g. 5 per cent is entered as 0.05
Maturity: entered in number of years. For e.g. half year is 0.5
Convenience yield: entered in decimals. e.g. enter 0.02 for 2 per cent.Storage cost(s): entered with comma separation if it is in cash and occuring at multiple times e.g. 2.50, 3.0. If it is in yield terms, it is entered in decimals. e.g. enter 0.02 for 2 per cent
Storage time(s):entered with comma separation e.g. 0.25,0.50 for 3 months and 6 months
Type of Income: chosen between yield/cash
Value
The forward value of a commodity.
Author(s)
S Subramanian <ssubramanian@sssihl.edu.in>
References
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.