I am looking at Eurodollar Futures contracts and was wondering how to build series ED1 up to say ED20.
Let's assume I have data from 01-01-2004.
My understanding is that:
- ED1 - perpetual front-month contract; i.e. I rollover March, June, September and December contracts
- ED2 - means it is 2 quarters out; thus I am assuming I roll-over June to December contracts
- ED 4- that would a be contract that is 4 quarters out; i.e. roll-over December contracts
What about ED3, ED5 etc?
I mean ED3 is a contract that expires in 9-months and ED5 would be expiring in 15-months. How do I build these series?
I am sorry if I sound stupid but I'm fairly new to these definitions of ED1...ED20 etc. I want to build a series so I can test some financial models I am working on.
Thanks for any help provided.