Re: [Quantlib-users] How to construct the term structure for Forward quote

[Amine I. <ami...@gm...>]

Daniel,

I believe Quantlib has class method called forwardRate(date t1, date t2) if my memory serves me well.



Amine Ifri

> On 22 Nov 2020, at 10:47, Daniel Lobo <dan...@gm...> wrote:
> 
> Hi,
> 
> I have below information -
> 
> import QuantLib as ql
> 
> today = ql.Date(7, ql.March, 2014)
> ql.Settings.instance().evaluationDate = today
> u = ql.SimpleQuote(100.0)
> r1 = ql.SimpleQuote(0.01)
> yield = ql.SimpleQuote(0.02)
> sigma = ql.SimpleQuote(0.20)
> riskFreeCurve = ql.FlatForward(
> 0,
> ql.TARGET(),
> ql.QuoteHandle(r1),
> ql.Actual360())
> yieldCurve = ql.FlatForward(
> 0,
> ql.TARGET(),
> ql.QuoteHandle(yield),
> ql.Actual360())
> 
> Given this information, I want to calculate the Term structure of the
> Forward quotes for different dates in futures.
> 
> Can you please help me if QuantLib has any method to perform the same?
> 
> Many thanks for your time.
> 
> 
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