Rolling Strip Functions

Function

Syntax

Function Details

<STRIPNAME>R

<STRIPNAME>R(<Root>,<Optional_Offset)

Examples:

QUARTER1R(CL) = Rolling Quarter1 Strip. It rolls on expiration of January of CL (equivalent to RollSpread(ROll(CL,F)+ROll(CL,G)+ROll(CL,H)) / 3

QUARTER1R(CL,1) = Rolling Quarter1 Strip, second out Quarter1. It rolls on expiration of January of CL (equivalent to RollSpread(ROll(CL,F,1)+ROll(CL,G,1)+ROll(CL,H,1)) / 3

All Strips Available:

QUARTER1R

QUARTER2R

QUARTER3R

QUARTER4R

SEMIANNUAL1R

SEMIANNUAL2R

ANNUALR

SUMMERR

WINTERR

Other Strip Examples:

WINTERR(CL) = Rolling Winter Strip. It rolls on expiration of November of CL. (equivalent to RollSpread(ROll(CL,X)+ROll(CL,Z)+ROll(CL,F,1)+ROll(CL,G,1) + ROll(CL,H,1)) / 5)

Spread Strip Examples:

RollSpread(Quarter1R(CL)-QUARTER3R(CL)) = Spread of Quarter1 and Quarter3, rolling on January Expiration

RollSpread(Quarter3R(CL)-QUARTER1R(CL,1)) = Spread of Quarter3 and Quarter1, rolling on July Expiration

Rolling Strip Futures Spread Example:

RollSpread(QUARTER1R(CL)-Roll(CL,U)) = Spread of Quarter1 and September, Rolling on January Expiration

Similar to original strip functions but with unique roll logic.

In these functions you will not specify a year like you do in original functions, but allow the function to dynamically determine the year based on roll rules.