Instruments#

LMECashForward

Spot LME Forward, traded on the start_date.

LMEForward

Generic LME Forward with arbitrary delivery date (that can be more than 3 months away, and doesn't have to be 3rd Wednesday.

LME3MForward

Outright 3 Month LME Forward, traded on the start_date.

LMEFuture

Synthetic 3rd Wednesday future (or rather forward), priced off outright 3M forward and spread contract.

LMESpreadContract

Spread contract simultaneously buying 3 Month forward (LME3MForward) and selling 3rd Wednesday forward (LMEFuture).