Upgrade from Eikon -> Workspace. Learn about programming differences.
For a deeper look into our Eikon Data API, look into:
Overview | Quickstart | Documentation | Downloads | Tutorials | Articles
How can I get futures & options roll return data, that is , to get futures roll yield?
Total Return ≈ Spot Price Return + Futures Roll Yield.
For example, I'd like to calculate return when I invest VIX futures from 2000/1/1 to 2019/9/30.
Unlike spot price, my equity curve should be strongly down shoulder because of its negative carry.
However, VXc1, VIX future continuation month1, seems to be future's spot price not including roll cost.
Hello @zeusu.sato,
Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?
If so please can you click the 'Accept' text next to the appropriate reply. This will guide all community members who have a similar question.
Thanks,
AHS
Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.
Thanks,
AHS
Hi @zeusu.sato
In my best understanding of the question, it is about content.
The members of the developer community and the moderators of the forum may have some understanding of the content involved. We aim to answer the question if our answer can be of help.
However, the in-depth understanding of specific content requires the knowledge of an expert in that content area. As our customer, you can tap this expertise by opening a case via Content Helpdesk Online or calling your local Refinitiv support number. The option to pick is ' i need help identifying content".
