Rolling over short-dated futures contracts is the same as taking one long-dated futures contract if (a) The interest rates are constant. (b) The average change in the spot price is zero over the life


Rolling over short-dated futures contracts is the same as taking one long-dated futures contract if (a) The interest rates are constant. (b) The average change in the spot price is zero over the life of the contract. (c) There is daily mark-to-market of both the short-dated and long-dated contracts. (d) The size (notional value) of the open position in the futures does not change over the horizon of the transactions.