Yield Curve Fut
Yield Curve Fut is a of with functions , keys and example object 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 in the formula that creates the object.
The following futures types are supported
The input futures prices may be supplied according to one of the methods described in
Alternative VaR specifications: