The constant maturity con futures example

Discussion of Pricing, hedging and Trading Financial Instruments
Forum rules
DISCLAIMER: We do not warrant or represent that this forum or its content is free of viruses, worms or other code that might be contaminating or destructive. We cannot guarantee that documents or files downloaded from the Site will be free from viruses and we do not accept any responsibility for any damage or loss caused by any virus. Accordingly, for your own protection, you must use virus-checking software when using the forum. You must not post or provide to us via the forum, any document or file which you believe may contain a virus. You must virus check any document or file which you intend to post or provide to us via the forum. You must ensure that any document or file you intend to post to the forum does not contravene any applicable laws or contravene any person's legal rights. We do not accept any responsibility for any damage or loss you may suffer.
edouard
Posts: 1
Joined: Sat Feb 25, 2012 6:51 pm

The constant maturity con futures example

Postby edouard » Wed Jan 30, 2013 11:27 pm

Pr Alexander.

Thank you for your books I have been reading with much attention.

As a market analyst in the agri commodities space I have a question regarding the Figure III.2.7 (p.78) depicting the constant maturity futures of CBoT corn.
I am wondering what did make you choose the 2-month, 3-month, 4-month and 5-month forward maturities. I mean, why did you omit the 1-month forward contract? And, why not choosing longer maturities as well? It that due to technical limitations for constructing the long-term time series, as it is explained few page supra in your book.

Best,
Édouard

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: The constant maturity con futures example

Postby coalexander » Sun Mar 17, 2013 1:15 pm

Hi Eduoard,

Sorry for late reply, I have been unbelievably busy lately! Also, I cannot be much help on your question.

The longer maturities were not liquid, but I am not sure about the missing data for 1mth. I guess there were data problems but I cannot recall from 5 years ago which they were.


Return to “Volume III”

Who is online

Users browsing this forum: No registered users and 1 guest