Model fair futures values using cost of carry. Test rates, yields, storage assumptions. Explore pricing outputs with charts and export tools.
This tool uses standard cost of carry logic for fair pricing analysis.
The chart shows how fair futures value changes across multiple maturities using your submitted assumptions.
| Case | Spot Price | Rate % | Storage % | Convenience % | Income % | Time | Estimated Futures |
|---|---|---|---|---|---|---|---|
| Energy Contract | 120.00 | 6.00 | 3.00 | 1.20 | 0.80 | 0.75 | 126.16 |
| Metal Contract | 98.50 | 5.20 | 2.40 | 0.60 | 0.20 | 1.00 | 105.67 |
| Agriculture Contract | 75.00 | 4.80 | 1.50 | 2.10 | 0.00 | 0.50 | 76.58 |
Continuous compounding: F = S × e(r + u - y - q)t
Annual compounding: F = S × (1 + r + u - y - q)t
Simple carry model: F = S × [1 + (r + u - y - q)t]
Here, F is futures price, S is spot price, r is risk free rate, u is storage cost, y is convenience yield, q is income yield, and t is time to maturity in years.
The model estimates a no-arbitrage fair value. Positive carry raises futures value. Positive convenience or income yield lowers it.
It estimates the fair futures value from spot price and carry variables. The result reflects financing, storage, income, convenience yield, and time to maturity.
Futures price usually includes carrying effects over time. Financing and storage can raise value, while dividends or convenience benefits can lower it.
Convenience yield is the non-cash benefit from physically holding the asset. It often reflects supply security, flexibility, or production continuity.
Include storage cost when inventory holding creates warehousing, insurance, or handling expenses. This is common for commodities and physical goods.
Use the method matching your pricing convention or classroom requirement. Continuous compounding is common in theory, while annual or simple models are often used in practice examples.
Basis is futures price minus spot price in this tool. A positive basis means futures exceeds spot, while a negative basis means the opposite.
Yes, but inputs must reflect the contract economics correctly. For dividend-paying assets, use income yield carefully and confirm the contract’s market convention.
No. It is a fair value estimate under no-arbitrage assumptions. Actual traded futures prices may differ because of liquidity, risk preferences, and market frictions.
Important Note: All the Calculators listed in this site are for educational purpose only and we do not guarentee the accuracy of results. Please do consult with other sources as well.