Hi, I want to calculate the roll over difference of different futures contracts. I have daily data of five contracts and i want to calculate the daily change of each contract with roll over date of 5th of the contract's delivery month. That is suppose i have may and july futures data. i will calculate change till 5th of may using may futures but next change will be from 5th may of may futures and 6th may of july futures. i am trying to make a macro for this but am not able to do that. the data is in excel format of different maturity months that is may maturity from 1970 t0 may maturity till 2014 and july maturity from 1970 to july maturity till 2014 and same for september, december and march and all aare in different excel files.
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