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!
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.