S
sdaetwyler
Ok, i want to compute a continous time series for futures returns with
a constant time to maturity.
I've got price feeds of the futures contracts in a workbook ("Data",
october contract 92: column D, november contract 92: column E etc) and
calculate the log returns in another workbook.
=LN(Data!D16/Data!D15) computes the weekly log return of the october
contract at date 09.18.1992; =LN(Data!D17/Data!D16) would be the return
at 09.25.1992. Now at the end of september I roll the october contract
into a november contract. The return at date 10.02.1992 would therefore
be =LN(Data!E18/Data!E17).
So I'm basically looking for a formula/makro that shifts the column of
the reference cell to the right each time the date goes up a month.
thank you for your time
Stefan
a constant time to maturity.
I've got price feeds of the futures contracts in a workbook ("Data",
october contract 92: column D, november contract 92: column E etc) and
calculate the log returns in another workbook.
=LN(Data!D16/Data!D15) computes the weekly log return of the october
contract at date 09.18.1992; =LN(Data!D17/Data!D16) would be the return
at 09.25.1992. Now at the end of september I roll the october contract
into a november contract. The return at date 10.02.1992 would therefore
be =LN(Data!E18/Data!E17).
So I'm basically looking for a formula/makro that shifts the column of
the reference cell to the right each time the date goes up a month.
thank you for your time
Stefan