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.

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
set_pricing_engine(self, PricingEngine engine)	Sets the pricing engine.

Attributes

is_expired
net_present_value	Instrument net present value.
npv	Shortcut to the net_present_value property.
valuation_date