quantlib.termstructures.yields.rate_helpers.FuturesRateHelper

class FuturesRateHelper(price, Date imm_date, Natural length_in_months, Calendar calendar, BusinessDayConvention convention, bool end_of_month, DayCounter day_counter, convexity_adjustment=0.0, FuturesType future_type=FuturesType.IMM)

Bases: RateHelper

Rate helper for bootstrapping over IborIndex futures prices.

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
from_index(cls, price, Date ibor_start_date, ...)
update(self)

Attributes

convexity_adjustment
earliest_date
implied_quote
latest_date
maturity_date
quote

classmethod from_index(cls, price, Date ibor_start_date, IborIndex i, convexity_adjustment=0.0, FuturesType future_type=FuturesType.IMM)