repost for the archives: I agree that when possible, you should avoid building continuous series. Nonetheless, that's what the OP asked for.
Sometimes, there is value in analyzing a long history of data (for example when analyzing risk) and in such cases, a constant maturity future makes sense. Also, if your time-frame is short and you're careful about how you adjust and how you use the adjusted data, I think it can be useful. The OP wanted to combine and not adjust, which, IMO is more dangerous than combining and adjusting. If you're going to combine the price series of 2 different expiration months, then you have to adjust for the roll. Otherwise, you may see a trend or mean-reversion where there isn't one, or worse, the opposite is actually occurring. Your point about this being a difficult thing to generalize (e.g. different grades for different expirations, or first notice day being different than expiration, etc.) is valid. Regards, Garrett _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
