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: RelativeDateRateHelper

Rate helper for bootstrapping over %FRA rates.

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
from_index(cls, rate, ...)
update(self)

Attributes

earliest_date
implied_quote
latest_date
maturity_date
quote

classmethod from_index(cls, rate, Natural months_to_start, IborIndex index, Pillar pillar=Pillar.LastRelevantDate, Date custom_pillar_date=Date(), bool use_indexed_coupon=True)