quantlib.instruments.overnightindexfuture.

OvernightIndexFuture

class OvernightIndexFuture(OvernightIndex overnight_index, Date value_date, Date maturity_date, Quote convexity_adjustment=Quote.__new__(Quote), RateAveraging averaging_method=RateAveraging.Compound)

Bases: Instrument

Future on a compounded overnight index investment.

Compatible with SOFR futures and Sonia futures available on CME and ICE exchanges.

Attributes:

error_estimate

Instrument.error_estimate: Real

is_expired

Instrument.is_expired: bool

net_present_value

Instrument net present value.

npv

Shortcut to the net_present_value property.

valuation_date

the date the net present value refers to.

Methods

set_pricing_engine(self, PricingEngine engine)

Sets the pricing engine.