webcab.lib.finance.futures
Class FuturesOnCommodities

java.lang.Object
  |
  +--webcab.lib.finance.futures.FuturesOnCommodities

All Implemented Interfaces:

Serializable

public class FuturesOnCommodities

extends Object

implements Serializable

Within this class we consider the evaluation of futures contracts on commodities of both investment and consumption type.

See Also:

Serialized Form

Constructor Summary

FuturesOnCommodities()
Creates a new instance.

Method Summary

double	consumptionCommodity(double commodityPrice, double storageCosts, double riskFree, Date evaluationDate, Date expiryDate, BusinessCalendar businessCalendar) Returns the upper bound of the value for a futures contact on an consumption commodity when the present value of the storage cost are known.
double	consumptionCommodity(double commodityPrice, double storageCosts, double riskFree, double timeToExpiry) Returns the upper bound of the value for a futures contact on an consumption commodity when the present value of the storage cost are known.
double	consumptionCommodityWithCarry(double commodityPrice, double convenienceYield, double costOfCarry, Date evaluationDate, Date expiryDate, BusinessCalendar businessCalendar) Calculates the price of a consumption commodity.
double	consumptionCommodityWithCarry(double commodityPrice, double convenienceYield, double costOfCarry, double timeToExpiry) Calculates the price of a consumption commodity.
double	consumptionCommodityWithProportionateCosts(double commodityPrice, double storageCosts, double riskFree, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Returns the upper bound of the value for a futures contact on an investment commodity when the storage cost as a proportion of the commodity price are known.
double	consumptionCommodityWithProportionateCosts(double commodityPrice, double storageCosts, double riskFree, double timeToExpiry) Returns the upper bound of the value for a futures contact on an investment commodity when the storage cost as a proportion of the commodity price are known.
double	convenienceYield(double commodityPrice, double storageCosts, double riskFree, double futuresPrice, Date evaluationDate, Date expiryDate, BusinessCalendar businessCalendar) This methods calculates the convenience yield of a consumption commodity when the present value of the cost of storage is known.
double	convenienceYield(double commodityPrice, double storageCosts, double riskFree, double futuresPrice, double timeToExpiry) This methods calculates the convenience yield of a consumption commodity when the present value of the cost of storage is known.
double	convenienceYieldFromCarry(double commodityPrice, double futuresPrice, double costOfCarry, Date evaluationDate, Date expiryDate, BusinessCalendar businessCalendar) Calculates the convenience yield from the cost of carry for a consumption commodity.
double	convenienceYieldFromCarry(double commodityPrice, double futuresPrice, double costOfCarry, double timeToExpiry) Calculates the convenience yield from the cost of carry for a consumption commodity.
double	convenienceYieldWithProportionalCosts(double commodityPrice, double storageCosts, double riskFree, double futuresPrice, Date evaluationDate, Date expiryDate, BusinessCalendar businessCalendar) Returns the convenience yield of a consumption commodity when the storage costs as a proportion of the commodity price is known.
double	convenienceYieldWithProportionalCosts(double commodityPrice, double storageCosts, double riskFree, double futuresPrice, double timeToExpiry) Returns the convenience yield of a consumption commodity when the storage costs as a proportion of the commodity price is known.
double	costOfCarry(double commodityPrice, double futuresPrice, Date evaluationDate, Date expiryDate, BusinessCalendar businessCalendar) Calculates the cost of carry of an investment commodity.
double	costOfCarry(double commodityPrice, double futuresPrice, double timeToExpiry) Calculates the cost of carry of an investment commodity.
double	costOfCarryForConsumption(double commodityPrice, double futuresPrice, double convenienceYield, Date evaluationDate, Date expiryDate, BusinessCalendar businessCalendar) Calculates the cost of carry of a consumption commodity.
double	costOfCarryForConsumption(double commodityPrice, double futuresPrice, double convenienceYield, double timeToExpiry) Calculates the cost of carry of a consumption commodity.
double	investmentCommodity(double commodityPrice, double storageCosts, double riskFree, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Returns the value for a futures contact on an investment commodity when the present value of the storage cost are known.
double	investmentCommodity(double commodityPrice, double storageCosts, double riskFree, double timeToExpiry) Returns the value for a futures contact on an investment commodity when the present value of the storage cost are known.
double	investmentCommodityWithCarry(double commodityPrice, double costOfCarry, Date evaluationDate, Date expiryDate, BusinessCalendar businessCalendar) Calculates the price of an investment commodity.
double	investmentCommodityWithCarry(double commodityPrice, double costOfCarry, double timeToExpiry) Calculates the price of an investment commodity.
double	investmentCommodityWithProportionateCosts(double commodityPrice, double storageCosts, double riskFree, Date evaluationDate, Date maturityDate, BusinessCalendar businessCalendar) Returns the value for a futures contact on an investment commodity when the storage cost as a proportion of the commodity price are known.
double	investmentCommodityWithProportionateCosts(double commodityPrice, double storageCosts, double riskFree, double timeToExpiry) Returns the value for a futures contact on an investment commodity when the storage cost as a proportion of the commodity price are known.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

FuturesOnCommodities

public FuturesOnCommodities()

Creates a new instance.

Method Detail

investmentCommodity

public double investmentCommodity(double commodityPrice,
                                  double storageCosts,
                                  double riskFree,
                                  Date evaluationDate,
                                  Date maturityDate,
                                  BusinessCalendar businessCalendar)
                           throws FuturesOnCommoditiesDemoException

Returns the value for a futures contact on an investment commodity when the present value of the storage cost are known.

Parameters:

commodityPrice - the price of the underlying commodity

storageCosts - the present value of the storage cost of the commodity during the life of the futures contract

riskFree - continuously compounded risk free interest rate

evaluationDate - the date when futures contract is evaluated

maturityDate - the date when the contract matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesOnCommoditiesDemoException

investmentCommodity

public double investmentCommodity(double commodityPrice,
                                  double storageCosts,
                                  double riskFree,
                                  double timeToExpiry)
                           throws FuturesOnCommoditiesDemoException

Returns the value for a futures contact on an investment commodity when the present value of the storage cost are known.

Parameters:

commodityPrice - the price of the underlying commodity

storageCosts - the present value of the storage cost of the commodity during the life of the futures contract

riskFree - continuously compounded risk free interest rate

timeToExpiry - the time period until the future contract expires

FuturesOnCommoditiesDemoException

investmentCommodityWithProportionateCosts

public double investmentCommodityWithProportionateCosts(double commodityPrice,
                                                        double storageCosts,
                                                        double riskFree,
                                                        Date evaluationDate,
                                                        Date maturityDate,
                                                        BusinessCalendar businessCalendar)
                                                 throws FuturesOnCommoditiesDemoException

Returns the value for a futures contact on an investment commodity when the storage cost as a proportion of the commodity price are known.

Parameters:

commodityPrice - the price of the underlying commodity

storageCosts - the storage costs as a proportion of the commodity price during the life of the contract

riskFree - continuously compounded risk free interest rate

evaluationDate - the date when futures contract is evaluated

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesOnCommoditiesDemoException

investmentCommodityWithProportionateCosts

public double investmentCommodityWithProportionateCosts(double commodityPrice,
                                                        double storageCosts,
                                                        double riskFree,
                                                        double timeToExpiry)
                                                 throws FuturesOnCommoditiesDemoException

Returns the value for a futures contact on an investment commodity when the storage cost as a proportion of the commodity price are known.

Parameters:

commodityPrice - the price of the underlying commodity

storageCosts - the storage costs as a proportion of the commodity price during the life of the contract

riskFree - continuously compounded risk free interest rate

timeToExpiry - the time period until the future contract expires

FuturesOnCommoditiesDemoException

consumptionCommodity

public double consumptionCommodity(double commodityPrice,
                                   double storageCosts,
                                   double riskFree,
                                   Date evaluationDate,
                                   Date expiryDate,
                                   BusinessCalendar businessCalendar)
                            throws FuturesOnCommoditiesDemoException

Returns the upper bound of the value for a futures contact on an consumption commodity when the present value of the storage cost are known.

Parameters:

commodityPrice - the price of the underlying commodity

storageCosts - the present value of the storage costs of the commodity during the life of the futures contract

riskFree - continuously compounded risk free interest rate

evaluationDate - the date when futures contract is evaluated

expiryDate - the date when the contract expires

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesOnCommoditiesDemoException

consumptionCommodity

public double consumptionCommodity(double commodityPrice,
                                   double storageCosts,
                                   double riskFree,
                                   double timeToExpiry)
                            throws FuturesOnCommoditiesDemoException

Returns the upper bound of the value for a futures contact on an consumption commodity when the present value of the storage cost are known.

Parameters:

commodityPrice - the price of the underlying commodity

storageCosts - the present value of the storage costs of the commodity during the life of the futures contract

riskFree - continuously compounded risk free interest rate

timeToExpiry - the time period until the future contract expires

FuturesOnCommoditiesDemoException

consumptionCommodityWithProportionateCosts

public double consumptionCommodityWithProportionateCosts(double commodityPrice,
                                                         double storageCosts,
                                                         double riskFree,
                                                         Date evaluationDate,
                                                         Date maturityDate,
                                                         BusinessCalendar businessCalendar)
                                                  throws FuturesOnCommoditiesDemoException

Returns the upper bound of the value for a futures contact on an investment commodity when the storage cost as a proportion of the commodity price are known.

Parameters:

commodityPrice - the price of the underlying commodity

storageCosts - the storage costs as a proportion of the commodity price during the life of the contract

riskFree - continuously compounded risk free interest rate

evaluationDate - the date when futures contract is evaluated

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesOnCommoditiesDemoException

consumptionCommodityWithProportionateCosts

public double consumptionCommodityWithProportionateCosts(double commodityPrice,
                                                         double storageCosts,
                                                         double riskFree,
                                                         double timeToExpiry)
                                                  throws FuturesOnCommoditiesDemoException

Returns the upper bound of the value for a futures contact on an investment commodity when the storage cost as a proportion of the commodity price are known.

Parameters:

commodityPrice - the price of the underlying commodity

storageCosts - the storage costs as a proportion of the commodity price during the life of the contract

riskFree - continuously compounded risk free interest rate

timeToExpiry - the time period until the future contract expires

FuturesOnCommoditiesDemoException

convenienceYield

public double convenienceYield(double commodityPrice,
                               double storageCosts,
                               double riskFree,
                               double futuresPrice,
                               Date evaluationDate,
                               Date expiryDate,
                               BusinessCalendar businessCalendar)
                        throws FuturesOnCommoditiesDemoException

This methods calculates the convenience yield of a consumption commodity when the present value of the cost of storage is known.

Parameters:

commodityPrice - the price of the underlying commodity

storageCosts - present value of the storage cost of the commodity during the life of the futures contract

futuresPrice - market price of a futures contract on the underlying commodity

riskFree - average risk free interest rate during the life of the futures contract

evaluationDate - the date when futures contract is evaluated

expiryDate - the date when the contract matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesOnCommoditiesDemoException

convenienceYield

public double convenienceYield(double commodityPrice,
                               double storageCosts,
                               double riskFree,
                               double futuresPrice,
                               double timeToExpiry)
                        throws FuturesOnCommoditiesDemoException

This methods calculates the convenience yield of a consumption commodity when the present value of the cost of storage is known.

Parameters:

commodityPrice - the price of the underlying commodity

storageCosts - present value of the storage cost of the commodity during the life of the futures contract

futuresPrice - market price of a futures contract on the underlying commodity

timeToExpiry - the time until the above future contract expires

riskFree - average risk free interest rate during the life of the futures contract

FuturesOnCommoditiesDemoException

convenienceYieldWithProportionalCosts

public double convenienceYieldWithProportionalCosts(double commodityPrice,
                                                    double storageCosts,
                                                    double riskFree,
                                                    double futuresPrice,
                                                    Date evaluationDate,
                                                    Date expiryDate,
                                                    BusinessCalendar businessCalendar)
                                             throws FuturesOnCommoditiesDemoException

Returns the convenience yield of a consumption commodity when the storage costs as a proportion of the commodity price is known.

Parameters:

commodityPrice - the price of the underlying commodity

storageCosts - storage costs as a proportion of the commodity price during the life of the contract

futuresPrice - market price of a futures contract on the underlying commodity

riskFree - continuously compounded risk free interest rate

evaluationDate - the date when futures contract is evaluated

expiryDate - the date when the contract expires

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesOnCommoditiesDemoException

convenienceYieldWithProportionalCosts

public double convenienceYieldWithProportionalCosts(double commodityPrice,
                                                    double storageCosts,
                                                    double riskFree,
                                                    double futuresPrice,
                                                    double timeToExpiry)
                                             throws FuturesOnCommoditiesDemoException

Returns the convenience yield of a consumption commodity when the storage costs as a proportion of the commodity price is known.

Parameters:

commodityPrice - the price of the underlying commodity

storageCosts - storage costs as a proportion of the commodity price during the life of the contract

futuresPrice - market price of a futures contract on the underlying commodity

timeToExpiry - the time until the above contract expires

riskFree - continuously compounded risk free interest rate

FuturesOnCommoditiesDemoException

convenienceYieldFromCarry

public double convenienceYieldFromCarry(double commodityPrice,
                                        double futuresPrice,
                                        double costOfCarry,
                                        Date evaluationDate,
                                        Date expiryDate,
                                        BusinessCalendar businessCalendar)
                                 throws FuturesOnCommoditiesDemoException

Calculates the convenience yield from the cost of carry for a consumption commodity.

Parameters:

commodityPrice - the price of the underlying consumption commodity

futuresPrice - price of a futures contract on the underlying commodity

costOfCarry - the cost of carry of the commodity

evaluationDate - the date when futures contract is evaluated

expiryDate - the date when the contract expires

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesOnCommoditiesDemoException

convenienceYieldFromCarry

public double convenienceYieldFromCarry(double commodityPrice,
                                        double futuresPrice,
                                        double costOfCarry,
                                        double timeToExpiry)
                                 throws FuturesOnCommoditiesDemoException

Calculates the convenience yield from the cost of carry for a consumption commodity.

Parameters:

commodityPrice - the price of the underlying consumption commodity

futuresPrice - price of a futures contract on the underlying commodity

timeToExpiry - the time to expiry of the futures contract

costOfCarry - the cost of carry of the commodity

FuturesOnCommoditiesDemoException

investmentCommodityWithCarry

public double investmentCommodityWithCarry(double commodityPrice,
                                           double costOfCarry,
                                           Date evaluationDate,
                                           Date expiryDate,
                                           BusinessCalendar businessCalendar)
                                    throws FuturesOnCommoditiesDemoException

Calculates the price of an investment commodity.

Parameters:

commodityPrice - the price of the underlying commodity

costOfCarry - the cost of carry of the underlying commodity

evaluationDate - the date when futures contract is evaluated

expiryDate - the date when the contract expires

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesOnCommoditiesDemoException

investmentCommodityWithCarry

public double investmentCommodityWithCarry(double commodityPrice,
                                           double costOfCarry,
                                           double timeToExpiry)
                                    throws FuturesOnCommoditiesDemoException

Calculates the price of an investment commodity.

Parameters:

commodityPrice - the price of the underlying commodity

costOfCarry - the cost of carry of the underlying commodity

timeToExpiry - the time period until the futures contract expires

FuturesOnCommoditiesDemoException

consumptionCommodityWithCarry

public double consumptionCommodityWithCarry(double commodityPrice,
                                            double convenienceYield,
                                            double costOfCarry,
                                            Date evaluationDate,
                                            Date expiryDate,
                                            BusinessCalendar businessCalendar)
                                     throws FuturesOnCommoditiesDemoException

Calculates the price of a consumption commodity.

Parameters:

commodityPrice - the price of the underlying commodity

convenienceYield - the convenience yield of the commodity

costOfCarry - the cost of carry of the underlying commodity

evaluationDate - the date when futures contract is evaluated

expiryDate - the date when the contract expires

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesOnCommoditiesDemoException

consumptionCommodityWithCarry

public double consumptionCommodityWithCarry(double commodityPrice,
                                            double convenienceYield,
                                            double costOfCarry,
                                            double timeToExpiry)
                                     throws FuturesOnCommoditiesDemoException

Calculates the price of a consumption commodity.

Parameters:

commodityPrice - the price of the underlying commodity

convenienceYield - the convenience yield of the commodity

costOfCarry - the cost of carry of the underlying commodity

timeToExpiry - the time period until the futures contract expires

FuturesOnCommoditiesDemoException

costOfCarry

public double costOfCarry(double commodityPrice,
                          double futuresPrice,
                          Date evaluationDate,
                          Date expiryDate,
                          BusinessCalendar businessCalendar)
                   throws FuturesOnCommoditiesDemoException

Calculates the cost of carry of an investment commodity.

Parameters:

commodityPrice - the price of the underlying commodity

futuresPrice - market price of a futures contract on the underlying commodity

evaluationDate - the date when futures contract is evaluated

expiryDate - the date when the contract expires

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesOnCommoditiesDemoException

costOfCarry

public double costOfCarry(double commodityPrice,
                          double futuresPrice,
                          double timeToExpiry)
                   throws FuturesOnCommoditiesDemoException

Calculates the cost of carry of an investment commodity.

Parameters:

commodityPrice - the price of the underlying commodity

futuresPrice - market price of a futures contract on the underlying commodity

timeToExpiry - the time until expiry of the futures contract

FuturesOnCommoditiesDemoException

costOfCarryForConsumption

public double costOfCarryForConsumption(double commodityPrice,
                                        double futuresPrice,
                                        double convenienceYield,
                                        Date evaluationDate,
                                        Date expiryDate,
                                        BusinessCalendar businessCalendar)
                                 throws FuturesOnCommoditiesDemoException

Calculates the cost of carry of a consumption commodity.

Parameters:

commodityPrice - the price of the underlying commodity

futuresPrice - the market price of a futures contract on the underlying commodity

convenienceYield - the convenience yield of the commodity

evaluationDate - the date when futures contract is evaluated

expiryDate - the date when the contract expires

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

FuturesOnCommoditiesDemoException

costOfCarryForConsumption

public double costOfCarryForConsumption(double commodityPrice,
                                        double futuresPrice,
                                        double convenienceYield,
                                        double timeToExpiry)
                                 throws FuturesOnCommoditiesDemoException

Calculates the cost of carry of a consumption commodity.

Parameters:

commodityPrice - the price of the underlying commodity

futuresPrice - the market price of a futures contract on the underlying commodity

timeToExpiry - the time until the expiry of the above futures contract

convenienceYield - the convenience yield of the commodity

FuturesOnCommoditiesDemoException