Contract

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

Introduction

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.

Construction

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
curve.add(contract)

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

Properties

A contract has the following properties:

Name	Description	Type
ondate	The CurveDate for this contract	CurveDate
tenor	The relative tenor of this contract	Scalar(String)
value	The value of this contract	Scalar
absolute	The absolute tenor name	Scalar(String)
relative	The relative tenor name	Scalar(String)
periodCodeType	The period code type, e.g. Month	Scalar(String)
expiry	The expiry or last trading date	Date
start	The start date of delivery of this contract	Date
end	The end date of delivery of this contract	Date
*	Any other dynamic property you want to add	Any