Re: [Quantlib-users] Futures Rates Helper Question

[Christofer B. <bog...@gm...>]

Hi,

I have a related question (operational perspective) how to implement
this code, given that I use Quantlib  with Python/R

I am not strong C++ guru, but want to focus on valuation/pricing using
this amazing library, so some step-by-step approach would be highly
appreciated.

Many thanks,

On Sun, Jun 14, 2020 at 1:56 PM Peter Caspers <pca...@gm...> wrote:
>
> Hi Luis,
>
> I think the OvernightIndexFutureRateHelper (or the SofrFutureRateHelper) defined here
>
> 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
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users