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Futures Roll?
3 messages · Raghu, Whit Armstrong, Robert Sams
you can play with this: http://github.com/armstrtw/RCommodity/blob/master/R/r.commodity.R it will need some tweaking to do what you want. -Whit
On Wed, Aug 4, 2010 at 4:45 PM, Raghu <r.raghuraman at gmail.com> wrote:
guRus Is there any function to get a continuous stream of futures time series when the inputs are a series of contracts? specifically if the contracts are x1, x2, x3 etc, then the output X should be defined as x1 which gets rolled over to x2 at a predetermined date (say n days before the expiry of x1) and then x2 to x3 etc. x= x1 (upto date1) then x=x2(upto date2)....... Bloomberg's GFUT does something similar. Also Is there a function to check an expiry date given a logic, say every third wednesday of the month prior to the futures month (options expiry) etc? Thx -- 'Raghu' ? ? ? ?[[alternative HTML version deleted]]
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