By Month
Subtype of Input MethodThe futures prices are specified by supplying 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
All futures contracts will then share the same length, which must be explicitly supplied in number of months.
They will also share the same conventions, which must be also supplied.
The implied 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.