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Dapper425

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tT
发表于 2011-7-13 16:25 | 只看该作者

roll yield

original, return, period, amount, price
when they ask for roll return or roll yield do they want a dollar amount or %?

If %, what do we use as the denominator? The original futures price for the given time period?

Thanks.

 

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lcai

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2#
发表于 2011-7-13 16:25 | 只看该作者
They want the %.

Roll return = Change in futures price - spot

the denominator is the previous forward rate from what I remember.

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former

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3#
发表于 2011-7-13 16:25 | 只看该作者
it depends. CFAI asks for cents sometimes but they give the question in cents. when they wanted percentages, they gave the percentages in the question.

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Analti_Calte

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4#
发表于 2011-7-13 16:25 | 只看该作者
its actually change in futures minus CHANGE in spot, not just spot.

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