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So why is the
sum of the carry adjustments so much greater than I get when allowing for
t-bills-dividends .. this shouldn't be complicated
For one thing, you're using average t-bills and interest x days
remaining over the whole period. But the adjustment only happens once
every 3 months. So it's not the average carry for the length of the
contract, which slowly decreases to zero, it's the 3-months-ahead carry
applied all at once.
To do it right, use the individual contracts and calculate the carry
from the premium (futures - cash) at the beginning of the contract.
--
Dennis
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