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Future Calendar Roll Enhancement | Weekly Release 6/14/2024

[AUD] Updated the calculation for the Theoretical Calendar Roll

 

In this week’s release, traders can see updated Theoretical Calendar Roll calculation in the AUD Future Calendar Roll sheet.

 

The “Theo B/E Cal Roll” column now is calculated as -1 * (Average forward Yield at the Front Delivery Date of Front contract Dlv basket – Average forward Yield at the Back Delivery Date of Back contract Dlv basket).



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