[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: Recreating the back adjusted vistorical number


  • Date: Tue, 27 Oct 2009 19:36:50 -0700
  • From: DH <catapult@xxxxxxxxxxxxxxxxxx>
  • Subject: Re: Recreating the back adjusted vistorical number

PureBytes Links

Trading Reference Links

So why is the
sum of the carry adjustments so much greater than I get when allowing for
t-bills-dividends .. this shouldn't be complicated

For one thing, you're using average t-bills and interest x days remaining over the whole period. But the adjustment only happens once every 3 months. So it's not the average carry for the length of the contract, which slowly decreases to zero, it's the 3-months-ahead carry applied all at once.

To do it right, use the individual contracts and calculate the carry from the premium (futures - cash) at the beginning of the contract.

--
  Dennis