LMEFuture

class sigtech.framework.instruments.lme_otc.LMEFuture

Baseclasses: LMEForwardBase

Synthetic 3rd Wednesday future (or rather forward), priced off outright 3M forward and spread contract. If start_date is passed, it is assumed that it traded on the start_date. strike is taken from the market, on that date, but can be supplied as a class parameter (and needs to be supplied if the start_date is missing. Default delivery_date can also be overridden, but it is expected to be the 3rd Wednesday of the delivery month, specified via future_ticker - a standard future convention month letter and last to digits of the year, e.g. 'K18' for May 2018, or 'J19' for April 2019, or 'Z20' for December 2020.

property dependency_type

Dependency type

future_ticker: str