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Contracts

Contracts are used on a curve as a set of contract objects that represent the future periods and values

Introduction​

The contracts on a curve are simple a map indexed by the relative tenor of each individual contract.

Methods​

Contracts has the following methods:

NameDescriptionReturn Type
filter(PeriodCodeType)Creates a new set of contracts that only has the contracts matching the supplied period code typeContracts

Using Contracts​

An example of filtering a list of contracts to return only months

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

curve.add(Contract(ondate, "2020M11", 25.67))
curve.add(Contract(ondate, "2020M12", 25.75))
curve.add(Contract(ondate, "2021Q01", 25.8))
curve.add(Contract(ondate, "2021Q02", 25.83))
curve.add(Contract(ondate, "2021Q03", 25.85))
curve.add(Contract(ondate, "2021Q04", 25.89))
curve.add(Contract(ondate, "2022Y", 25.99))

// Filter out just the months
months = curve.contracts.filter("Month")
print json(months)