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computing futures return series
Ok, i want to compute a continous time series for futures returns with
a constant time to maturity. I've got price feeds of the futures contracts in a workbook ("Data", october contract 92: column D, november contract 92: column E etc) and calculate the log returns in another workbook. =LN(Data!D16/Data!D15) computes the weekly log return of the october contract at date 09.18.1992; =LN(Data!D17/Data!D16) would be the return at 09.25.1992. Now at the end of september I roll the october contract into a november contract. The return at date 10.02.1992 would therefore be =LN(Data!E18/Data!E17). So I'm basically looking for a formula/makro that shifts the column of the reference cell to the right each time the date goes up a month. thank you for your time Stefan |
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