The documentation for continuous_future() doesn't explain the behavior of the adjustment
param. Can you elaborate what the three options do?
Thanks
The documentation for continuous_future() doesn't explain the behavior of the adjustment
param. Can you elaborate what the three options do?
Thanks
'mul' calculates the ratio of front and back contracts on the roll date ((back - front)/front) and multiplies front contract prices by (1 + ratio). 'add' calculates the difference between back and front contracts on the roll date (back - front) and adds the difference to front contract prices. None concatenates contracts without any adjustment.