diff --git a/tests/test_assets.py b/tests/test_assets.py
index 10ed9f2d..9b50df1b 100644
--- a/tests/test_assets.py
+++ b/tests/test_assets.py
@@ -33,7 +33,11 @@ from nose_parameterized import parameterized
 from numpy import full
 
 from zipline.assets import Asset, Equity, Future, AssetFinder
-from zipline.assets.futures import FutureChain
+from zipline.assets.futures import (
+    cme_code_to_month,
+    FutureChain,
+    month_to_cme_code,
+)
 from zipline.errors import (
     SymbolNotFound,
     MultipleSymbolsFound,
@@ -1006,3 +1010,39 @@ class TestFutureChain(TestCase):
         # ValueError.
         with self.assertRaises(ValueError):
             cl.offset("blah")
+
+    def test_cme_code_to_month(self):
+        codes = {
+            'F': 1,   # January
+            'G': 2,   # February
+            'H': 3,   # March
+            'J': 4,   # April
+            'K': 5,   # May
+            'M': 6,   # June
+            'N': 7,   # July
+            'Q': 8,   # August
+            'U': 9,   # September
+            'V': 10,  # October
+            'X': 11,  # November
+            'Z': 12   # December
+        }
+        for key in codes:
+            self.assertEqual(codes[key], cme_code_to_month(key))
+
+    def test_month_to_cme_code(self):
+        codes = {
+            1: 'F',   # January
+            2: 'G',   # February
+            3: 'H',   # March
+            4: 'J',   # April
+            5: 'K',   # May
+            6: 'M',   # June
+            7: 'N',   # July
+            8: 'Q',   # August
+            9: 'U',   # September
+            10: 'V',  # October
+            11: 'X',  # November
+            12: 'Z',  # December
+        }
+        for key in codes:
+            self.assertEqual(codes[key], month_to_cme_code(key))
diff --git a/zipline/assets/futures.py b/zipline/assets/futures.py
index 7d61dfda..9e71bd6a 100644
--- a/zipline/assets/futures.py
+++ b/zipline/assets/futures.py
@@ -180,3 +180,84 @@ class FutureChain(object):
 
         """
         return self.as_of(self.as_of_date + Timedelta(time_delta))
+
+
+# http://www.cmegroup.com/product-codes-listing/month-codes.html
+CME_CODE_TO_MONTH = dict(zip('FGHJKMNQUVXZ', range(1, 13)))
+MONTH_TO_CME_CODE = dict(zip(range(1, 13), 'FGHJKMNQUVXZ'))
+
+
+def cme_code_to_month(code):
+    """
+    Convert a CME month code to a month index.
+
+    The month codes are as follows:
+
+    'F' -> 1  (January)
+    'G' -> 2  (February)
+    'H' -> 3  (March)
+    'J' -> 4  (April)
+    'K' -> 5  (May)
+    'M' -> 6  (June)
+    'N' -> 7  (July)
+    'Q' -> 8  (August)
+    'U' -> 9  (September)
+    'V' -> 10 (October)
+    'X' -> 11 (November)
+    'Z' -> 12 (December)
+
+    Parameters
+    ----------
+    code : str
+        The month code to look up.
+
+    Returns
+    -------
+    month : int
+       The month number (starting at 1 for January) corresponding to the
+       requested code.
+
+    See Also
+    --------
+    month_to_cme_code
+        Inverse of this function.
+    """
+    return CME_CODE_TO_MONTH[code]
+
+
+def month_to_cme_code(month):
+    """
+    Convert a month to a CME code.
+
+    The month codes are as follows:
+
+    1 (January)   -> 'F'
+    2 (February)  -> 'G'
+    3 (March)     -> 'H'
+    4 (April)     -> 'J'
+    5 (May)       -> 'K'
+    6 (June)      -> 'M'
+    7 (July)      -> 'N'
+    8 (August)    -> 'Q'
+    9 (September) -> 'U'
+    10 (October)  -> 'V'
+    11 (November) -> 'X'
+    12 (December) -> 'Z'
+
+    Parameters
+    ----------
+    month : int
+       The month number (starting at 1 for January) corresponding to the
+       requested code.
+
+    Returns
+    -------
+    code : str
+        The month code to look up.
+
+    See Also
+    --------
+    cme_code_to_month
+        Inverse of this function.
+    """
+    return MONTH_TO_CME_CODE[month]