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Mappings for generic and tradeable futures instruments

Project description

mapping provides functionality for mapping to and from generic exposures and tradeable instruments for financial assets.

An example of this might be on 2016-12-01 we would have CL1 -> CLZ16, i.e. the first generic for Crude oil on the above date corresponds to trading the December 2016 contract.

The main features of mapping include:

  • creating continuous return series for Futures instruments
  • creating time series of percentage allocations to tradeable contracts
  • creating instrument trade lists

Project details

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Files for mapping, version 0.1.6
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