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Quantitative Finance · शब्दावली

Commodity index, roll window क्या है?

अन्य नाम: commodity index · roll window

Definition 10.10 Markets III: Commodities, Energy and Crypto · अध्याय 10 — Forward Curves, Storage and Convenience Yield

A commodity index is a published rule for a basket of commodity futures positions (which contracts, in what weights, rolled when), whose total or excess return investors track through swaps, funds and notes. Its roll window is the set of days, fixed by the rule, on which the index sells the expiring contracts and buys the next ones, in equal parts each day.

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