By Index
Subtype of Input MethodThe futures prices are specified by supplying a common index, as well as the respective expiries, prices and futures convexity corrections through a Set object consisting of the two mandatory columns #Expiry, #Price and the optional column #Convexity
If Futures Type = Overnight the additional column #Start is required.
If furthermore Futures Type = Overnight and Build Rule = Undefined the additional column #BuildRule is also required.
All futures contracts will share the same length and conventions, which must be explicitly supplied through an additional Ibor Rate object.
The final maturities of the futures contracts can be viewed through the element _Cash Flows of any object of type Yield Curve that incorporates the object here.