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:
RateHelperRate helper for bootstrapping over IborIndex futures prices.
- Attributes:
- convexity_adjustment
- earliest_date
- implied_quote
- latest_date
- maturity_date
- quote
Methods
from_index(cls, price, Date ibor_start_date, ...)update(self)