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: RateHelper

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)
update(self)

Attributes

earliest_date
implied_quote
latest_date
maturity_date
quote