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the futures payoff, at the option expiry date is not St-F0. the futures payoff at the option expiry date is Ft-F0. note that Ft<>St since note that the futures will expiry AFTER the option expiry. the reason this is the futures payoff is because the money in the futures margin account earns zero interest, and by payoff, we mean the money in the margin ...

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Futures payoff is indeed $S_t-F_0$, but the $t$ in question is the maturity date of futures. In this derivation $t$ denotes maturity date of the option, which is always before the futures maturity. Therefore, on the day of option maturities, the futures did not expire yet, but the value of the futures position is $F_t-F_0$ (in mark-to-market sense, you can ...

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Futures contracts are marked to market every day. This mean that each evening cash is added to or subtracted from your account as a result of the price movement that day. When you close out your position in July these daily cash movements cease, and you are left with F(july) - F(jan) which has gradually accumulated in your account. Nothing at all happens ...

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There's no industry standard for calculating returns on derivative contracts. The reason is that derivative contract assets are different from what I'll call real assets. Examples of real assets are an ounce of gold, or an equity. Derivatives require you to invest, or allocate some amount of cash (i.e. margin), to accommodate losses. But this allocation is ...

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The easiest way is to use a specific holiday code while downloading the schedule from Bloomberg ("cdr = CE", in the API formula). if not, you might have to rely on wikipedia or other public source, and just remove the holidays from a more complete list. While the date changes every year, the HOLIDAYS doesn't.

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Ignoring delivery option and margining, then you can treat bond futures like a bond forward. Like any forward contract, fair values of bond forwards are determined by $$\text{forward price} = \text{spot price} - \text{carry}.$$ The calendar spread is therefore nonzero for several reasons: The underlying cheapest-to-delivers might be different, so both ...

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People often use Compustat or FactSet for high-level data like that.

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