quantlib.termstructures.yields.rate_helpers.
FraRateHelper¶
- class FraRateHelper(rate, Natural months_to_start, Natural months_to_end, Natural fixing_days, Calendar calendar, BusinessDayConvention convention, bool end_of_month, DayCounter day_counter, Pillar pillar=Pillar.LastRelevantDate, Date custom_pillar_date=Date(), bool use_indexed_coupon=True)¶
Bases:
RelativeDateRateHelperRate helper for bootstrapping over %FRA rates.
- Attributes:
- earliest_date
- implied_quote
- latest_date
- maturity_date
- quote
Methods
from_index(cls, rate, ...)update(self)