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Method for evaluating convenience yields from commodity futures

An evaluation method and convenient technology, applied in the fields of instruments, finance, data processing applications, etc., can solve problems that are rarely mentioned

Inactive Publication Date: 2011-01-05
杨凝
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

Convenience yield is an important concept and topic in futures price theory, but it is rarely mentioned in the existing futures theory research, or it is limited to descriptive explanation as a factor in the relationship between futures price and spot price

Method used

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  • Method for evaluating convenience yields from commodity futures
  • Method for evaluating convenience yields from commodity futures
  • Method for evaluating convenience yields from commodity futures

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Embodiment Construction

[0022] Below in conjunction with specific embodiment the present invention will be further described

[0023] The data used in the embodiment of the present invention mainly include futures price data, spot price data and risk-free interest rate data. Among them, the futures and spot price data are all from Zhengzhou Commodity Exchange. The embodiment of the present invention has chosen 2004-2009 the daily settlement price 16 data of 5 trading varieties (high-quality strong gluten wheat, cotton, white sugar, rapeseed oil, PTA) of Zhengzhou Commodity Exchange, and these data include this period Prices for all futures contracts of various expiration dates traded on the internal exchange.

[0024]

[0025] The present invention uses the relevant data of 5 trading varieties of Zhengzhou Commodity Exchange to describe and portray the development trend and mutual relationship between commodity futures prices and spot prices in China, and estimate the specific value of commodity ...

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Abstract

The invention provides a method for evaluating convenience yields from commodity futures for finding out the relationship between the values and fluctuation properties of the convenience yields from different commodities and the time before a due date, storage costs and commodity characteristics and providing a newer and more scientific means for further developing commodity future pricing theories and practices. The technical scheme of the invention comprises: firstly, establishing a model of the estimation of the convenience yields; secondly, detecting the heteroscedasticity of the convenience yields; thirdly, checking the heteroscedasticity of the convenience yields; fourthly, checking the seasonality of the convenience yields; and fifthly, checking the smoothness of the convenience yields. According to the invention, the values and fluctuation properties of the convenience yields from different commodities are associated with the time before a due date, storage costs and commodity characteristics. The method for evaluating a convenience yield problem, estimating data and inspection results of the invention provide the newer and more scientific means for further developing the commodity future pricing theories and practices.

Description

technical field [0001] The invention relates to a method for evaluating commodity futures, in particular to a method for evaluating convenience income of commodity futures. Background technique [0002] Under market economy conditions, commodity prices are highly susceptible to large fluctuations due to factors such as market supply and demand, external economic shocks, etc., thereby causing various risks to market participants. As one of the most basic financial derivative products, futures contracts are an important tool for market participants to hedge various risks such as price and exchange rate. The so-called futures refers to a standardized contract formulated by the futures exchange that stipulates the delivery of a certain amount of underlying objects at a specific time and place in the future. The subject matter here refers to the spot corresponding to the futures contract, which can be a certain physical commodity, such as agricultural products, copper or crude o...

Claims

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Application Information

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IPC IPC(8): G06Q40/00G06Q40/04
Inventor 杨凝
Owner 杨凝
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