Recent content by aZa

I agree completely. In practice I will only be using the first 8 nrbys. I choose these based on the open intereset liquidity. So, in conclusion I was being too pedantic with the dataset analysis. Anyhow, i'm moving on to create the historical forward this afternoon. later i will be looking...

Hi, thanks for the suggestion. Before posting, I knew that would be my only choice if I failed to get some answers to the questions. The prob is that the datataset I have may be missing some data points towards the start of the contracts' inception. I can only be sure if I knew the exact start...

its more when each of the contracts March (H), May (K), July (N), September (U) & December (Z) start trading. ie when was the first trading date of the July 2004 contract. Consider you are looking to create the forward curve of corn at date 01/02/2003. Does the July 2004 contract exist...

Hi Mini-Dow Thanks for your response. Consider the following page http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/wheat_product_calendar_futures.html Under the first trade and last trade column is the information regarding when a new contract was created and until when it will...

I am currently looking at the corn and wheat futures prices and creating historical forward curves for both commodities dating back to 1st of January 2002. Does anyone know answers to the following: Does the exchange add a new contract after each contract's expiration? Or are many new...