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mapping

Mappings for generic and tradeable futures instruments

0.1.6
PyPI
Maintainers
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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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