Does anybody have a piece of code for calculating rolling?

[mizhael]

Does anybody have a piece of code for calculating rolling?

Calculating rolling and obtaining a return index out of a futures?

Any pointers?

Thanks a lot!

 

[wave]

A time series of constant maturity futures can be obtained by concatenation of adjacent futures prices. For instance, a time series for a constant maturity 1-month futures price can be obtained by taking the prompt futures with expiry less than or equal to 1 month and the next futures with expiry greater than 1 month and linearly interpolating between the two prices.