Re: [Quantlib-users] [Quantlib-dev] Plain Futures term structure class

[Jonathan S. <sw...@gm...>]

Hi Amine,

Not sure if this is exactly what you're looking for, but there are some
test cases in the C++ code for bootstrapping a SOFR yield term structure
from futures quotes. You might be able to use this as a reference for your
python code.

https://github.com/lballabio/QuantLib/blob/master/test-suite/sofrfutures.cpp#L45


On Thu, Jan 26, 2023 at 8:44 PM Amine Ifri <ami...@gm...> wrote:

> Dear Quantlib teams/users,
>
> Currently looking to use the QL Python library for ETD contracts. Went to
> check the doc but couldn’t find any concrete class of a term structure that
> would take only a ref date, a list of anchor dates, and a list of
> corresponding quotes corresponding to each contract expiry.
>
> Grateful if someone could tell me if such impl exists. Many thanks.
>
> Amine Ifri
>
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