The Long‐Term Structure of Commodity Futures
针对农产品期货期限短（通常不到四年）的问题，提出一种从现有期货价格生成长期期货曲线的方法，并用瘦肉猪和大豆数据验证其合理性。
Futures markets on agricultural commodities typically trade with maximum maturity dates of less than four years. If these markets did trade with maturities eight or ten years distant, futures prices would have value as price forecasts and as a way to structure long‐term swaps and insurance contracts. Agricultural commodity markets generally exhibit mean reversion in spot prices and convenience yields. Spot markets also exhibit seasonality. This study develops and implements a procedure to generate long‐term futures curves from existing futures prices. Data on lean hogs and soybeans are used to show that the method provides plausible results.