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
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