quantlib.quotes.futuresconvadjustmentquote.

FuturesConvAdjustmentQuote

class FuturesConvAdjustmentQuote(IborIndex index, futures_date_or_code, Quote futures_quote, Quote volatility, Quote mean_reversion)

Bases: Quote

Quote for the futures-convexity adjustment of an index.

Parameters:

indexIborIndex

The underlying IBOR index.

futures_date_or_codeDate or str

The futures date or IMM code.

futures_quoteQuote

The quote for the futures contract.

volatilityQuote

The volatility quote.

mean_reversionQuote

The mean-reversion quote.

Attributes:

futures_value

The value of the futures quote.

imm_date

The IMM date of the futures contract.

is_valid

mean_reversion

The mean reversion of the quote.

value

volatility

The volatility of the quote.