medium · FRM Part 1
An investor notes that the convenience yield for Natural Gas is 15% in winter and 2% in summer.
Assuming r and u are constant at 4% and 3% respectively, how does the curve shape change?
- Contango in winter; Backwardation in summer.
- Backwardation in both seasons.
- Backwardation in winter; Contango in summer.
- Contango in both seasons.
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