Roll symbols for futures term structure Bloomberg ticker construction

Helper dataset for Bloomberg futures term structure ticker construction. Provides roll type and roll adjustment symbols to use along days and months offsets in constructing Bloomberg futures term structure tickers.

rolls

Format

A data.table. Columns include:

• roll: divides variables between roll type ('type') and roll adjustment (adjustment) variables.

• symbol: roll type or adjustment symbol.

• name: corresponding roll type or adjustment name.

Source

Bloomberg

See also

• function futures_ticker in package pullit.

• "GFUT <GO>" &/or "DOCS #2072138 <GO>" on a Bloomberg terminal.

• The finRes suite in general, in particular the pullit and storethat packages.