Re: [Quantlib-users] Futures Rates Helper Question

[Peter C. <pca...@gm...>]

Hi Luis,

I think the OvernightIndexFutureRateHelper (or the SofrFutureRateHelper) defined here

https://github.com/lballabio/QuantLib/blob/master/ql/experimental/futures/overnightindexfutureratehelper.hpp <https://github.com/lballabio/QuantLib/blob/master/ql/experimental/futures/overnightindexfutureratehelper.hpp>

is what you are looking for.

Best Regards
Peter

> On 14. Jun 2020, at 09:55, Luís Miguel Aguiar <lui...@gm...> wrote:
> 
> Hello,
> 
> By mistake did a reply to a different topic on an update sent by Luigi.
> 
> I have been looking if it is possible to apply the futures_rate_helper class to 1m fed funds futures. All the examples I see online only use 3m instruments, and also as part of the inputs is the index, such as IMM, it only accepts IIM dates (which are quarterly).
> 
> Is it possible or do I need to use a different class?
> 
> Kind regards,
> Luis Aguiar
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