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Yield_Curve__Futures_Input

Futures Input refers to List of possible ways of entering the futures contracts.
Available Futures Input types:
By Date
The futures prices are specified by supplying the respective expiries, underlying maturities, prices and convexities through a
Set object consisting of 4 columns.
The first column must bear the title #Expiry and contain the expiry dates of the futures contracts.
The second column must bear the title #Maturity and contain the maturity dates of the underlying interest rates. The dates here must be greater than those in the first column.
The third column must bear the title #Price and contain the respective futures prices.
The fourth column must bear the title #Convexity and contain the respective
futures convexity correction values.
Here the futures contracts are allowed to have different underlying lengths, but they will still share the same conventions, which must be explicitly supplied.
Linear interpolation and flat extrapolation is assumed for those maturities that do not appear in the Set
By Index
The futures prices are specified by supplying a common index, as well as the respective expiries, prices and
futures convexity correction values through a Set object consisting of 3 columns.
The first column must bear the title #Expiry and contain the expiry dates of the futures contracts.
The second column must bear the title #Price and contain the respective futures prices.
The third column must bear the title #Convexity and contain the respective
futures convexity correction values.
All futures contracts will then share the same length and conventions, which must be explicitly supplied through an additional
Ibor Rate object.
Linear interpolation and flat extrapolation is assumed for those maturities that do not appear in the Set
By Month
The futures prices are specified by supplying the respective expiries, prices and convexities through a
Set object consisting of 3 columns.
The first column must bear the title #Expiry and contain the expiry dates of the futures contracts.
The second column must bear the title #Price and contain the respective futures prices.
The third column must bear the title #Convexity and contain the respective
futures convexity correction values.
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.
Linear interpolation and flat extrapolation is assumed for those maturities that do not appear in the Set