Yield_Curve__Futures_Input

Available

The futures prices are specified by supplying the respective expiries, underlying maturities, prices and convexities through a Set object consisting of 4 columns.

The first column must bear the title

The second column must bear the title

The third column must bear the title

The fourth column must bear the title

Here the futures contracts are allowed to have different underlying lengths, but they will still share the same conventions, which must be explicitly supplied.

Linear interpolation and flat extrapolation is assumed for those maturities that do not appear in the Set

The futures prices are specified by supplying a common index, as well as the respective expiries, prices and futures convexity correction values through a Set object consisting of 3 columns.

The first column must bear the title

The second column must bear the title

The third column must bear the title

All futures contracts will then share the same length and conventions, which must be explicitly supplied through an additional Ibor Rate object.

Linear interpolation and flat extrapolation is assumed for those maturities that do not appear in the Set

The futures prices are specified by supplying the respective expiries, prices and convexities through a Set object consisting of 3 columns.

The first column must bear the title

The second column must bear the title

The third column must bear the title

All futures contracts will then share the same length, which must be explicitly supplied in number of months.

They will also share the same conventions, which must be also supplied.

Linear interpolation and flat extrapolation is assumed for those maturities that do not appear in the Set