University of Cape Town
8 files

AI1Index Option Contracts

posted on 2021-02-05, 09:04 authored by Duncan SaffyDuncan Saffy, Tim GebbieTim Gebbie
These .csv files provide the list of contracts extracted from Bloomberg for the following futures indices:AIH8, AIM8, AIU8, AIZ8, AIH9, AIM9, AIU9. Which are futures indices on the FTSE/JSE Top 40 Index.

The BLB_GEN_DATA_Oct.csv contains price information relating to the FTSE/JSE continuation contract, 3-month Jibar, and Top 40 Index.
This data was used to generate the data found in the 'ALSI Futures Options Data' folder in this collection.

This data was used for the production of my minor dissertation at the University of Cape Town.


Statistical Association South Africa (SASA)

National Research Foundation (NRF)



Department of Statistical Sciences