[R-SIG-Finance] Generating a front month only Time Series for Futures Prices

[gussinsky]

Hello All,

I am struggeling to find a method which would enable me to generate a
historical time series which only contains a commodities front month price,
and after expiry automatically rolls over to the next month. 

I suspect one has to code the roll over rule from the respective exchange
into a function, and supply the function with the respective expired
historical data.

My aim is to backtest those data for delta 1 strategies, but also for
cointegration. One example would be heating oil futures vs. gasoil futures.

Many thanks


Gussinsky

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