Yield Curve Fut


Yield Curve Fut is a
direct subtype of Yield Curve Input with functions Yield Curve Fut Functions, keys Yield Curve Fut keys and example object YldCrvFut that represents market prices of futures contracts that may be used as input to a yield curve construction.

Web blog example
here

Technically, the mentioned curve is created by feeding an object of this type as value next to the key
Market Data in the formula that creates the Yield Curve object.

The following futures types are supported
Futures Type

The input futures prices may be supplied according to one of the methods described in
Input Method
Alternative VaR specifications:
VaR Type