Backtest a Net-Loss Future

Models a dated, cash-settled future: you enter at a rate you choose — your entry rate (strike), or leave it blank to use the index's spot at the entry month — and the contract settles in arrears to the realized print at the settlement month. The payoff is linear in the rate — PnL = side × notional × (rate_settle − rate_entry) / 100 — so one point (1% on the rate) equals 1% of notional (DV01-style). Long profits when losses rise (hedging an ABS book); short is the mirror. Interim months mark to the realized index (no forward curve); settlement is the realized print. Historical, illustrative only — not a forecast or investment advice.