In notes4, “because gold can earn a return by lending it out,strategies for holding synthetic gold offer a higher return than holding just the physical gold without lending it out.”
i cannot understand.
A synthetic “long gold” position can be obtained using derivatives.
Since:
F = S * e ^ (rf - l)
Wouldn’t synthetic gold be (?):
S = F * 1 / [e^(rf - l)]
in other words synthetic gold = Long Gold Futures contract + a zero coupon bond
McLeod81 Wrote: ——————————————————-
> S = F * 1 / [e^(rf - l)]
> in other words synthetic gold = Long Gold Futures > contract + a zero coupon bond
That’s not right, wouldn’t this actually mean that synthetic gold is:
One zero coupon treasury w/ par = Futures price; maturity = futures expiration + Another zero coupon treasury with par = FV(lease receipts)
?
I think long futures and long a bond would be correct
A synthetic “long gold” position can be obtained using derivatives.
Since:
F = S * e ^ (rf - l)
Wouldn’t synthetic gold be (?):
S = F * 1 / [e^(rf - l)]
in other words synthetic gold = Long Gold Futures contract + a zero coupon bond
McLeod81 Wrote:
——————————————————-
>
S = F * 1 / [e^(rf - l)]
> in other words synthetic gold = Long Gold Futures
> contract + a zero coupon bond
That’s not right, wouldn’t this actually mean that synthetic gold is:
One zero coupon treasury w/ par = Futures price; maturity = futures expiration
+
Another zero coupon treasury with par = FV(lease receipts)
?
I think long futures and long a bond would be correct