quantlib.termstructures.yields.overnightindexfutureratehelper.
SofrFutureRateHelper¶
- class SofrFutureRateHelper(price, Month reference_month, Year reference_year, Frequency reference_freq, convexity_adjustment=0.0)¶
Bases:
OvernightIndexFutureRateHelper- Attributes:
- earliest_date
- implied_quote
- latest_date
- maturity_date
- quote
Methods
update(self)