Hello,
I am an undergraduate business student and I am looking for help on futures interpolation. I have no idea how to complete this assignment and it is worth 50% of my grade in a class. Please do not scorn me for not paying attention. I am usually a very good student. The class was taught over 5 days for 4 hours each day and involved pretty advanced mathematics (for me) that I was simply unable to grasp well enough to be able to apply. And the class was taken in Europe so I cannot easily access my professor (or the textbook...or other students) for help. I highly doubt that any future class or job will ever require me to complete a similar task again and I just need to know how to complete this problem. My assignment is as follows:
1 Goal
Download data on VIX futures from CBOE and construct a time series of 1-
month constant maturity futures by suitable interpolating and rolling over the
futures contracts.
2 Deliverable
An Excel workbook with all underlying data, and a daily time series of
1-month constant maturity futures based on
{ High
{ Low
{ Close
{ Settle
A document containing a description of the VIX futures contract: what
is the underlying, how is it computed, how is it settled etc.
3 Details
The above link contains links to data les for VIX futures from 2004 until now.
You will need to download all data les and process them. Observe that there
is a variety of maturity dates which you will need to consider. With suitably
rolling over I mean that if the maturity becomes to short, say less than 10 days
or a week you will need to switch to the next futures contract. You will need
to interpolate, since the futures contracts have standardized maturity dates,
and you will need to articially construct the constant maturity (1 month) by
interpolating between two adjacent maturity dates.
Any help would be very greatly appreciated.