Yield Curve Fut


Yield Curve Fut is a direct subtype of Yield Curve Input
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with functions Yield Curve Fut Functions, keys Yield Curve Fut keys and example object YldCrvFut

TYPE INCLUSION RELATIONSHIPS

Yield Curve Input

Yield Curve Fut

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Build Approx AA

Build Approx CA

Build Rule

Calendar

Date Shift

DateBump

DayCount

EOM

Futures Type

Index

Input Method

Length

Min Mat Prd

Past Fixings

Pillar Choice

Set

Standard Dates

VaR Drift

VaR Process

VaR Type

VaR Vol

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TYPICAL OBJECTS OF TYPE Yield Curve Fut

YldCrvFut

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This type represents market prices of futures contracts that may be used as input to construct a curve (i.e. an object of type Yield Curve), referred to as TARGET CURVE below.

Web blog example here

Technically, the TARGET CURVE is created by feeding an object of the Yield Curve Fut type as value next to the key Market Data in the formula that creates the TARGET CURVE

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