Introduction
Crude oil prices by delivery period define the term structure of the market. The term structure changes shape over time given shifts in price level and slope. Term structure behavior becomes clear by combining discrete futures contracts with similar maturities into a continuous time series. R code is supplied to create continuous prices by delivery period. The purpose is to show term structure behavior and to derive risk and profitability measures for oil production, marketing and trading strategies. The resulting data is tidy, well suited for model training and out-of-sample testing.