calculating roll return example 9 on pg 52 vol 5 cfai
the question says to calculate roll return . to me that should be (july future price) - (june future price).
why are we also subtracting the change in spot price ? i would agree if the question said to calculate entire future return - but not for calculating just the roll return.
any comments, opinions? |
发表于 2013-5-9 09:38
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