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Roll-adjustment definition for swaps schedule generation

To my understanding, when generating swap coupon schedules, first you define an effective date which is kind of straight forward. Then, you generate your coupons: roll-adjusted but not coupon-adjusted ...
Oliver Mohr Bonometti's user avatar
-1 votes
1 answer

Carry and Roll on Interest rate Swap [duplicate]

Only spot starting swaps have a known fixing, F(0,6m). There’s no carry in a forward starting swap as there’s no certain payments (on the float leg). This is claimed in an excellent research note by ...
Pavan Sharma's user avatar
3 votes
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True or false: roll-down return is negative when a bond is trading at a premium

These three sources all say that the bond roll-down effect is negative if the bond is trading at a premium: https://corporatefinanceinstitute....
B R O's user avatar
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3 votes
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futures roll - how is it applied to intraday data, e.g. minute level?

I have read many different approaches in rolling and adjusting futures contract to build a continuous time series. However, all of the examples I have seen are on daily data. While that is relatively ...
tinyneko's user avatar
0 votes
2 answers

Continuous futures data roll adjustment

When I construct continuous futures data (Wheat futures for example), I get different results than barchart or tradingview. Examples below. The 1st image is my adjusted continuous data and the 2nd ...
kobo's user avatar
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0 answers

Disalignment between global standard deviation and mean of rolling standard deviation

Ciao, I am working on proprerties of time series. I was trying to deduce an estimate of standard deviation of a process from the series of rolling standard deviation but I've got some issues when I ...
clarkmaio's user avatar
  • 455
2 votes
3 answers

How does one price the market value and estimate the fair value of a bond futures roll?

Consider the current situation: we are entering December, meaning that the December futures are being rolled into the March futures (i.e. traders are selling their holdings of December futures ...
quanty's user avatar
  • 439
1 vote
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Modelling roll-over and roll yield in a forward strategy

This is a post which serves as a follow-up question to Nature of short VIX strategies. I am trying to understand where the change in value in a synthetic strategy constructed from futures comes from: ...
Daneel Olivaw's user avatar
1 vote
1 answer

XIV Positive Roll Yield

I understand that VIX futures are usually in contango and so a portfolio that holds futures with a weighted average expiration of 30 days will "roll" down to equal the VIX index at maturity. This is ...
trade_the_basis's user avatar
0 votes
1 answer

Libor futures rolling adjustment & curve building

Can futures rolling affect curve constructing? Let's say that i'm using future 1 and 2 to construct the short end of my curve. As i understand it, rolling will create volatility (as volumes spike), ...
ababoua's user avatar
  • 207
3 votes
0 answers

Is there really a negative roll yield for futures in contango?

I am trying to wrap my head around how ETFs that track futures work (whether its USO tracking WTI futures or VXX tracking VIX futures). I have read online about how for normal contango environments, ...
qwer's user avatar
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1 vote
2 answers

Extracting continuous futures prices on different dates with the ratio adjustment

I extract continuous prices for a set of futures contracts using Bloomberg. I select the Ratio as adjustment with the Bloomberg default settings. For instance, to extract the first/forward generic ...
WJA's user avatar
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time series for futures roll

I'm trying to build a multi year time series for a 3 month futures contract. How do I handle rolls? On the day of roll, volatility is high and I want to roll over to next contract series in a way that ...
user236215's user avatar
-2 votes
1 answer

what is the cost for rolling 5 year german future?

im looking at the bobl future for september and for december and see 1.8 basis points difference. i wanted to know why there is this gap? and if im holding a position in september and want to roll it ...
Menny Yedid's user avatar
1 vote
0 answers

For futures contracts, do we need to do price adjustment during live testing?

I am trying to do pair trading on a pair of future contracts, e.g. CME gold and silver. During the training of my trading model, I do forward adjustment on the pair of future contracts. Let the ...
Michael's user avatar
  • 181
4 votes
1 answer

IMM rolls: Are there special business day conventions?

If a trade (lets say for example a 'simple' interest rate swap) is using IMM rolls (so the interest calculation periods start and end on IMM Wed dates), are there particular/special business day ...
eddiewould's user avatar
3 votes
2 answers

ETF Negative Roll Yield

I have a quick question about the ETF Roll Yield. As we all know commodity ETF’s have struggled with contango (spot price is below futures prices on the term structure). Look at an ETF like USO which ...
jessica's user avatar
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3 votes
1 answer

Continuous returns for negative roll-adjusted futures data

I've generated roll adjusted notional futures data by adding a roll adjustment to the settlement price then multiplying by contract multiplier through time. For example, for crude oil CL, on 15 March ...
strimp099's user avatar
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