Description
Return annualRate+storageRate-ln(futures/spot)/years.
A financial model connects supplied rates, discount factors, cashflows or prices under a particular convention. A local identity or residual is not a complete valuation, an observed market relationship or a promise of future returns.
Return annualRate+storageRate-ln(futures/spot)/years.
When to use this tool
Use Futures Convenience Yield Carry Term when you need one transparent financial-model term.
How to use the tool and how it works
- Enter spot, futures, annualRate, storageRate, years. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read impliedConvenienceYield. Use the output convention below.
Require positive spot, futures and years. Return annualRate+storageRate-ln(futures/spot)/years.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| spot | Spot | Required. Finite number; strictly above 0. |
| futures | Futures | Required. Finite number; strictly above 0. |
| annualRate | Annual Rate | Required. Finite number. |
| storageRate | Storage Rate | Required. Finite number. |
| years | Years | Required. Finite number; strictly above 0. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| impliedConvenienceYield | Implied Convenience Yield | Required. Finite number. |
{
"input": {
"spot": 100,
"futures": 100,
"annualRate": 0.05,
"storageRate": 0.02,
"years": 1
},
"output": {
"impliedConvenienceYield": 0.07
}
}Limitations and assumptions
- All carry rates use a compatible continuous annual convention. Implied convenience yield is model-dependent, without forecasting prices or checking financing/storage feasibility.
- Inputs must satisfy both the field types and the cross-field conditions above. Invalid input causes an error; a successful false flag or documented placeholder is a different result.
- Numeric calculations use binary floating point unless exact decimal-integer arithmetic is explicitly stated. No hidden measurement tolerance or decimal rounding is added; nonfinite or out-of-contract results are rejected. Numeric signed-zero results are exported as zero.
Alternative or Complementary methods
Use a complete model matching the instrument, cashflows and market conventions. Review compounding, timing, currency, uncertainty and omitted costs before using a local estimate in a financial decision.
References
Similar or alternative tools
- Carry Price Delivery Basis Gap
Return spot+storage+financing-benefit and delivery price minus that result.
- Forward Rate Discount Factor Two Dates
Divide log discount ratio by time gap for continuous rate, or take its reciprocal-gap power minus one otherwise.