quantlib.termstructures.yields.rate_helpers.SwapRateHelper

class SwapRateHelper

Bases: RelativeDateRateHelper

Rate helper for bootstrapping over swap rates

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
from_index(cls, rate, SwapIndex index, ...)	build a SwapRateHelper from a SwapIndex
from_tenor(cls, rate, Period tenor, ...)
swap(self)
update(self)

Attributes

earliest_date
forward_start
implied_quote
latest_date
maturity_date
quote
spread

classmethod from_index(cls, rate, SwapIndex index, Quote spread=SimpleQuote.__new__(SimpleQuote), Period fwdStart=Period(0, Days), YieldTermStructure discounting_curve=YieldTermStructure(), Pillar pillar=Pillar.LastRelevantDate, Date custom_pillar_date=Date(), bool end_of_month=False)

build a SwapRateHelper from a SwapIndex

classmethod from_tenor(cls, rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex iborIndex, Quote spread=SimpleQuote.__new__(SimpleQuote), Period fwdStart=Period(0, Days), YieldTermStructure discounting_curve=YieldTermStructure(), Natural settlement_days=Null[Integer](), Pillar pillar=Pillar.LastRelevantDate, Date custom_pillar_date=Date(), bool end_of_month=False)

swap(self)