Semua buku

Profesional

Aplikasi Tentang Pelatih Masuk Mulai membaca

Quantitative Finance · Glosarium

Apa itu Commodity index, roll window?

Dikenal juga sebagai: commodity index · roll window

Definition 10.10 Markets III: Commodities, Energy and Crypto · Bab 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.

Baca dalam konteks →