Skip to content

hroptatyr/truffle

Repository files navigation

truffle

truffle is a command line tool to roll over futures contracts according to some specified roll-over directives. The focus is clearly on batch processing and speed.

Requirements

  • C11 compiler with dfp754 extension
  • Licensed under BSD3c

Features

  • stateless mode of operation (no initial portfolio has to be specified)
  • support to apply roll-over directives to time series
  • support to roll over volume and open interest data
  • support for forward contracts and their cash flows