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I understand why stock index can be considered as assets with known yields due to the dividends.

But why currencies and futures contracts can also be considered as assets with known yields?

In the currency, the known yield is the foreign risk-free interest rate. In the case of a futures contract, it is the domestic risk-free interest rate.

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Currencies and futures can be considered assets with known yields in that one can set up a trade and lock in a yield. For example, one can buy a currency spot and sell the currency future (typically forwards are used), to lock in a yield. The yield will be (Future Price - Spot)/Spot for the period between spot and future settlement dates.

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