Commodity Roll Analysis

Simple analysis on calculating returns of historical forward curve time series

Performs volatility analysis of historical time series of commodity forward curves.
The historical data is stored in an object with a range of methods that plots, calculates returns, volatility: Simple Moving Average and Exponentially Weighted Moving Average and Principal Component Analysis.

The simple example is used to show how commodity roll, i.e. when the monthly contract expires affects the returns and subsequent volatility profile across tenors.

Run the script:

ReturnAnalysis.m

This will plot the results.