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