| futurescommodity {GUIDE} | R Documentation |
Calculate the value of a commodity futures.
Description
Function to calculate the value of a commodity futures.
Usage
futurescommodity()
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. 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. 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 value of a commodity futures.
Author(s)
S Subramanian <ssubramanian@sssihl.edu.in>
References
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.