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

[Daniel L. <dan...@gm...>]

Upon searching the Internet I found this spec.
https://quantlib-python-docs.readthedocs.io/en/latest/instruments/forwards.html?highlight=forwardRate#ql.ForwardRateAgreement..forwardRate

However this seems to calculate the Forward interest rate implied by
FRA. This is not what I was looking for. I wanted to calculate the
Forward price typically calculated by the formula Spot multiplied by
Cost of carry (https://en.wikipedia.org/wiki/Forward_price)

Any further pointer will be highly appreciated

On Sun, 22 Nov 2020 at 16:45, Amine Ifri <ami...@gm...> wrote:
>
> 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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