Reply To: Future Cascade “Rollover Conventions”

Gareth Evenson

For the cascade the “End Date” is wrt to “Start Date”, but “Start Date” is wrt the Futures Delivery date. So normally I would expect the delivery date to be before the start date of the underlying futures periods – so you would not have negative start date offsets. So in your example the parent delivery date is at the start of the futures notional period and this is when cascade takes place and offset is then 1fom, 2fom, 3fom etc.

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