quantlib.termstructures.yields.overnightindexfutureratehelper.
OvernightIndexFutureRateHelper¶
- class OvernightIndexFutureRateHelper(Quote price, Date value_date, Date maturity_date, OvernightIndex overnight_index, Quote convexity_adjustment, RateAveraging averaging_method)¶
Bases:
RateHelperFuture on a compounded overnight index investment.
Compatible with SOFR futures and Sonia futures available on CME and ICE exchanges.
- Attributes:
- earliest_date
- implied_quote
- latest_date
- maturity_date
- quote
Methods
update(self)