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OK, so PHYSICAL commodities typically have a term structure for one of two basic reasons: (1) that commodity is seasonal in nature. Take a look at the NatGas strip for the next 5 years. Ditto vagaries in the harvest of Brazilian coffee, Iowa wheat, or Florida FCOJ (a la Trading Places). (2) sometimes, that term structure is not purely seasonal. NatGas ...


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Here is a library vix_utils that might be useful for pre-processing the term structure to one with a constant maturity.


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But the point about neg rates is precisely that you CAN lend and borrow thus. EURIBOR, CHF and JPY LIBOR etc forwards trade >100. So arbitrarily assuming zero rates and thus pricing the forwards at 100 would generate an arbitrage, spoon-feeding others a free lunch. Nobody prohibits or enforces the FX markets to price in any way. FX will just price itself ...


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Those are both reasonable ideas. The pros of the Treasury futures : a) very liquid b) works well assuming you are pretty certain you will pay margin for a 2yr timeframe. The pros of the Fed funds futures : a) you can vary your hedge maturity depending on the timeframe you anticipate b) they precisely hedge your liability , whereas 2yr Treasury doesn’t have ...


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gold futures (COMEX, anyway) are physically settled unless your PB is offering you cross-margining between spot and futures, you have a lot of MTM / margin risk on the trade. This is not "risk free profit making". There is no such thing. If you think there is, you are overlooking something (latency, execution risk, operational risk, etc.) if your ...


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"for high / low / close, should i take the average of all my data in array" You require OHLC data based on calendar time, not economic time. You will need to create 5-minute bars from the trade data.


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