标题: roll yield [打印本页] 作者: Dapper425 时间: 2011-7-13 16:25 标题: roll yield
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.作者: lcai 时间: 2011-7-13 16:25
They want the %.
Roll return = Change in futures price - spot
the denominator is the previous forward rate from what I remember.作者: former 时间: 2011-7-13 16:25
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.作者: Analti_Calte 时间: 2011-7-13 16:25
its actually change in futures minus CHANGE in spot, not just spot.
