Eurodollar Futures Contracts

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 rolled over a few days before maturity. The ED1 contract thus corresponds roughly to the 3-month forward rate that is 1 quarter out, while the ED16 contract is the 3-month forward rate that is 16 quarters out."

So what I was basically looking for was how the person build these ED1, ED2 up to ED16 series.

Now I get the naming convention thing.

However, if you have any insights on the above I would be very grateful if you could help.
 
Not that difficult:

Let's say there are 4 contracts outstanding at any point in time (there are of course many more, but let's keep it simple).

EDH4, EDM4, EDU4 and EDZ4

We just established that on 1-1-2004, EDH4 = ED1, EDM4 = ED2, EDU4 = ED3 and EDZ4 = ED4
Fast forward to 1-4-2004, EDM4 is now ED1, EDU4 = ED2 etc.

In order to construct a generic ED1 series, you start with EDH4 (pricing from 1-1-2004 - expiration, or whatever roll method you want to use.) Following the expiration, you continue building that generic series with EDM4 (which is now ED1, remember). Following the roll of EDM4, you continue with EDU4 etc etc.

For ED2, the same process applies, only you start on 1-1-2004 with EDM4, and after this has rolled you continuou that series with EDU4 etc etc.

Remember that at any point in time, the H, the M, the U and the Z contracts are trading concurrently, allowing you to build generic EDn contracts!

Good luck!
 
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 on.

Same for ED3 then. On 01-01-2004 I start with EDU04 then continue the series with EDZ04 and so on.

Many thanks to you and all the other contributors to this post for taking time to explain this.
 
PSeeballack said:
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 on.

Same for ED3 then. On 01-01-2004 I start with EDU04 then continue the series with EDZ04 and so on.

Many thanks to you and all the other contributors to this post for taking time to explain this.
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Correct :)
 
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