Hi community,
Let's assume a commodity future contract priced with MtM. This price moves on a daily basis. ($50, $51, $49, $48...)
I'm trying to compute the delta of this contract at a certain date. I know that the price of such contract is : S*EXP([rate + storage - convenience - yield](T))
- S is known,
- Rate is also known,
But does anyone know how to get Storage, Convenience and Yield in order to compute the delta ?
Thank you in advance.
Let's assume a commodity future contract priced with MtM. This price moves on a daily basis. ($50, $51, $49, $48...)
I'm trying to compute the delta of this contract at a certain date. I know that the price of such contract is : S*EXP([rate + storage - convenience - yield](T))
- S is known,
- Rate is also known,
But does anyone know how to get Storage, Convenience and Yield in order to compute the delta ?
Thank you in advance.