Does anybody have a piece of code for calculating rolling?

Discussion in 'Index Futures' started by mizhael, Feb 25, 2010.

  1. Does anybody have a piece of code for calculating rolling?

    Calculating rolling and obtaining a return index out of a futures?

    Any pointers?

    Thanks a lot!
     
  2. wave

    wave

    A time series of constant maturity futures can be obtained by concatenation of adjacent futures prices. For instance, a time series for a constant maturity 1-month futures price can be obtained by taking the prompt futures with expiry less than or equal to 1 month and the next futures with expiry greater than 1 month and linearly interpolating between the two prices.