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Quantitative Finance · Begrippenlijst

Wat is Roll?

Definition 21.7 Markets I: The Ecosystem and Exchange-Traded Markets · Hoofdstuk 21 — Basis, Roll and Delivery

To roll a futures position is to close it in the expiring contract and reopen it in a later one, normally as one calendar-spread trade (Definition 19.6). The price of the roll is the calendar spread; its richness is the spread’s excess over the difference of the two fair values, usually quoted as an annualised rate.

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