标题: calculating roll return example 9 on pg 52 vol 5 cfai [打印本页] 作者: eagles_dare13 时间: 2013-5-9 09:38 标题: 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?
