Part 1:
To calculate the carrying cost for the different assets, I utilize the formula F0 = S0ecT and assume that there is no convenience yield for consumption assets like copper and coffee. First, I search for the real data of spot price S0 and future price F0 for each contract and record the corresponding time to maturity. Then we can get the carrying cost for each asset with the formula F0 = S0ecT. The result is shown as follows.
Copper (HG COMEX) | | | |
years | IR Swap Rates | F0 | S0 | carrying cost |
1 | 0.0033 | 3.31 | 3.27 | 0.012158204 |
2 | 0.0048 | 3.33 | 3.27 | 0.00909116 |
3 | 0.008 | 3.3 | 3.27 | 0.003044161 |
4 | 0.0121 | 3.26 | 3.27 | -0.000765697 |
| | | | |
Coffee (KC ICE-US) | | | |
years | IR Swap Rates | F0 | S0 | carrying cost |
1 | 0.0033 | 129.45 | 116.7 | 0.103688167 |
2 | 0.0048 | 139.45 | 116.7 | 0.089049787 |
| | | | |
Nikkei 225 Index (NK CME) | | | |
months | IR Swap Rates | F0 | S0 | carrying cost |
2 | 0.0033 | $ 14,265.00 | $ 14,590.00 | -0.135164267 |
5 | 0.0033 | $ 14,680.00 | $ 14,590.00 | 0.014759186 |
| | | | |
Euro FX (EC CME) | | | |
months | IR Swap Rates | F0 | S0 | carrying cost |
2 | 0.0033 | 1.36 | 1.35 | 0.044280644 |
5 | 0.0033 | 1.36 | 1.35 | 0.017712258 |
8 | 0.0033 | 1.36 | 1.35 | 0.011070161 |
11 | 0.0033 | 1.36 | 1.35 | 0.008051026 |
Part 2 (a):
Copper (HG COMEX): Because copper is consumption asset, can result in storage cost u and will not yield any profit, thus the carrying cost for Copper c =r + u, where r is the risk free rate and u is the storage cost. And the future price F0 = S0e(c-y)T, where y is the convenience cost. Coffee (KC ICE-US): like the carrying cost for Copper, the carrying cost for Coffee c=r + u, where r is the risk free rate and u is the storage cost. And the future price F0 = S0e(c-y)T, where y is the convenience cost. Nikkei 225 Index (NK CME): Because the index can...