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Noted! My interpretation was that for ED2 you start with the EDM04 contract that is 2-quarters. Then EDU04 becomes ED1 so I have to roll-over to EDZ04 which is ED2 again. From your explanation now I get that on 01-01-2004 for ED2 I should start with EDM04 first then roll-over to EDU04 and so...

Hi H20 Thanks for explaining again. I read a paper which stated the following: " I construct series of generic ED contracts with different maturities in a straightforward manner. For EDn, the n-quarter(s) out ED future is simply the nth contract with n = 1, 2, . . . , 16. Each contract is...

So what I wrote is wrong then? We r at 01-01-2004 and I start with EDM04 it is ED1 even though EDH04 is the first contract to expire?

Ok. Let's assume it is 01-01-2004. The first contract to expire is EDH04. I roll-over to the next contract to expire EDM05...and so on. This is ED1. We r still 01-01-2004. Now we have EDH04 and EDM04. If start with EDM04, which is the second contract to expire, and roll-over to the next 2nd...

Thanks for replying so quickly guys. I really appreciate it. Let me summarize your explanation and see if I get it right. 1. ED1 - EDH04 should roll-over to EDM04 then EDU04 and finally EDZ04. This means that the maturity of each contract is approximately 91 days or 1 quarter out 2. ED2 -...

Hi everyone I am looking at Eurodollar Futures contracts and was wondering how to build series ED1 up to say ED20. Let's assume I have data from 01-01-2004. My understanding is that: 1. ED1 - perpetual front-month contract; i.e. I rollover March, June, September and December contracts 2. ED2...

Hi Alexx5 I was looking into your post. I am currently trying to build ED1...ED20 contracts. Would you mind explaining how to go around doing this? I am not a trader but a very very new academic! I am looking to build generic contracts that are 1 quarter up to 16 quarters out. That is with...