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Based on the cost-of-carry model, calculate the theoretical price of domestic futures contracts to help discover arbitrage opportunities.
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Suppose the current spot price of rebar is 3,500 yuan per ton, the risk-free interest rate is 3%, the storage cost is 1%, and the holding period is 6 months. We use this calculator to determine the theoretical price of this commodity futures contract and evaluate whether the market quote is reasonable.
The core of theoretical futures pricing is the Cost of Carry Model, which posits that the futures price should equal the spot price plus the total cost of holding the asset until the delivery date, minus any income earned during the holding period (such as dividends or convenience yield). The formula is:
F = S × e^{(r + u - y) × T}