| There are two basic concepts in finance: time-value of money and uncertainty about expectations. |
金融的两大基本概念：金钱的时间价值和预期的不确定性。 |
| The two concepts are the core of financial valuations, including futures contracts. |
这两个概念是金融估值的核心，包括期货合同。 |
| cost-of-carry model is the most widely accepted and used for pricing futures contract |
持有成本模型是对期货合同定价最广泛接受的模型。 |
| Cost-of-carry Model |
持有成本模型 |
| Cost-of-carry model is an arbitrage-free pricing model. |
持有成本模型是无套利机会的一种定价模型。 |
| Its central theme is that futures contract is so priced as to preclude arbitrage profit. |
它的中心主题就是期货合同如此定价从而排除套利机会。 |
| 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. |
换言之，投资者对于在现货市场还是期货市场实行买卖标的资产无所谓因为他们对质所获得的价值实际上是一样的。 |
| Expectations do influence the price, but they influence the spot price and, through it, the futures price. |
预期可以影响价格，但他们影响的是现货价格，通过现货价格进而影响期货价格。 |
| They do not directly influence the futures price. |
他们并不能直接影响期货价格。 |
| 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) |
根据持有成本模型，期货价格如下所示：
期货价格（Fp）= 现货价格 （Sp） + 持有成本（Cc) - 持有收益（Cr）（1）
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| 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）就是在期货合同到期之前持有标的资产的利息成本。 |
| Carry return (CR) is the income (e.g., dividend) derived from underlying asset during holding period. |
持有收益（Cr）就是在持有期间从标的资产中所获得的收益（比如， 红利） |
| Thus, the futures price (F) should be equal to spot price (S) plus carry cost minus carry return. |
于是，期货价格就应该等于现货价格加上持有成本减去持有收益。 |
| If it is otherwise, there will be arbitrage opportunities as follows |
如果不是这样的话，那就会随之存在套利的机会。 |
| 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. |
当F > (S + CC - CR):卖出（被高估）的期货合同，在现货市场买入标的资产，并在合同到期前持有该资产。 |
| This is called "cash-and-carry" arbitrage. |
这就是所谓的现金持有套利。 |
| 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. |
当F < (S + CC - CR): 买入 （被低估）的期货合同，在现货市场卖空标的资产，在期货到期之前将所得款项投资。 |
| This is called "reverse cash-and-carry" arbitrage. |
这就是所谓的反向现金持有套利。 |
