| There are two basic concepts in finance: time-value of money and uncertainty about expectations. |
金融界的兩大基本概念為：貨幣時間價值及預期不確定性。 |
| The two concepts are the core of financial valuations, including futures contracts. |
該兩大概念為金融估值核心，包括期貨合約。 |
| cost-of-carry model is the most widely accepted and used for pricing futures contract |
持有成本模型於定價期貨合約時最為廣泛接納及使用。 |
| Cost-of-carry Model |
持有成本模型 |
| Cost-of-carry model is an arbitrage-free pricing model. |
持有成本模型為無套利定價模型。 |
| Its central theme is that futures contract is so priced as to preclude arbitrage profit. |
其中心主題為期貨合約的定價太高，導致不能獲取套利利潤。 |
| In other words, investors will be indifferent to spot and futures market to execute their buying and selling of underlying asset because the prices they obtain are effectively the same. |
即是說，投資者對於在現貨及期貨市場上買賣相關資產將不感興趣，因為他們實際上只能獲得相同價格。 |
| Expectations do influence the price, but they influence the spot price and, through it, the futures price. |
預期確實會影響價格，但其不僅會影響現貨價格，而且還會因此影響期貨價格。 |
| They do not directly influence the futures price. |
其不會直接影響期貨價格。 |
| According to the cost-of-carry model, the futures price is given by Futures price(Fp) = Spot Price(Sp) + Carry Cost(Cc) - Carry Return(Cr) (1) |
根據持有成本模型，期貨價格按期貨價格(Fp) = 現貨價格(Sp) + 持有成本(Cc) - 持有回報(Cr)得出(1) |
| Carry cost (CC) is the interest cost of holding the underlying asset (purchased in spot market) until the maturity of futures contract. |
持有成本(CC)為直至期貨合約到期為止持有相關資產（於現貨市場上購買）的利息成本。 |
| Carry return (CR) is the income (e.g., dividend) derived from underlying asset during holding period. |
持有回報(CR)為於持有期間從相關資產中衍生的收入（例如股息）。 |
| Thus, the futures price (F) should be equal to spot price (S) plus carry cost minus carry return. |
因此，期貨價格(F)應相等於現貨價格(S)加持有成本減持有回報。 |
| If it is otherwise, there will be arbitrage opportunities as follows |
否則將有下列套利機會 |
| When F > (S + CC - CR): Sell the (overpriced) futures contract, buy the underlying asset in spot market and carry it until the maturity of futures contract. |
當期貨價格 > (現貨價格 + 持有成本 - 持有回報) 時：出售（定價過高）期貨合約、於現貨市場上購買相關資產並持有該資產，直至期貨合約到期為止。 |
| This is called "cash-and-carry" arbitrage. |
這被稱為「正向」套利。 |
| When F < (S + CC - CR): Buy the (under priced) futures contract, short-sell the underlying asset in spot market and invest the proceeds of short-sale until the maturity of futures contract. |
當期貨價格 < (現貨價格 + 持有成本 - 持有回報) 時：購買（定價過低）期貨合約、於現貨市場上沽空相關資產並投資沽空所得款項，直至期貨合約到期為止。 |
| This is called "reverse cash-and-carry" arbitrage. |
這被稱為「反向」套利。 |
