I am trying to replicate a sell side report that calculates the fair value of the calendar roll. I assume the proper way to do this is to get the forward prices for the cheapest to deliver securities for both contracts and then adjust for optionality. In fact, I don't see much switch optionality lately so this should be zero.

Is this the right approach? How do you quantify the fact that futures garner balance sheet premium in the post 2008 era?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.