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

Real: error estimate on the NPV when available

is_expired

bool: whether the instrument might have value greater than zero.

net_present_value

The net present value of the instrument.

npv

A shortcut to the net_present_value property.

valuation_date

Date: the date the net present value refers to.

Methods

set_pricing_engine(self, PricingEngine engine)

Sets the pricing engine to be used.