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A contract is a single future period in time that represents a tradable future contract or a forecasted value on a curve


A contract, when used with commodity forward curves, is a structure that defines a delivery period for that contract and and associated information such as price and last trading day.


To create a new contract, you need to use the contract construction function as shown below:

contract = Contract(CurveDate, PeriodCode, value)

The 3 parameters are as follows:

  • CurveDate - this is the CurveDate for this contract, it usually is the same as the curve that this contract is attached to, but can be different if you want to calculate expiry dates differently
  • PeriodCode - this is a string representation of the delivery period code, in either absolute or relative format.
  • Value - This is the price/value for the contract

Example creation of a contract:

// Create a curve
eombus = ExpiryCalendar(BusinessCalendar())
eombus.addRule("go to the end of the previous month")
ondate = CurveDate(Date("2020-10-13"), eombus)
curve = Curve(ondate)

// Create a contract
contract = Contract(ondate, "2020M11", 25.67)

// Add it to the curve

This is what that contract looks like in JSON:

"tenor": "M01",
"value": 25.67,
"ondate": {
"curveDate": "2020-10-13",
"expiryCalendar": "eombus"
"properties": {
"absolute": "2020M11",
"end": "2020-11-30T00:00:00",
"expiry": "2020-10-31T00:00:00",
"relative": "M01",
"start": "2020-11-01T00:00:00"

You can see in the above example that there are a few properties automatically created and are described in the next section


A contract has the following properties:

ondateThe CurveDate for this contractCurveDate
tenorThe relative tenor of this contractScalar(String)
valueThe value of this contractScalar
absoluteThe absolute tenor nameScalar(String)
relativeThe relative tenor nameScalar(String)
periodCodeTypeThe period code type, e.g. MonthScalar(String)
expiryThe expiry or last trading dateDate
startThe start date of delivery of this contractDate
endThe end date of delivery of this contractDate
*Any other dynamic property you want to addAny