I am currently reading thorugh the QuantLib-Python cookbook to learn about this nice pice of software. On page 141 I encountered a block of code that made me wonder what it is exactly doing.
The code looks as follows:
today = Date(15, February, 2002); settlement = Date(19, February, 2002); # four days because of the weekend Settings.instance().evaluationDate = today; term_structure = YieldTermStructureHandle( FlatForward(settlement,0.04875825,Actual365Fixed()) ) index = Euribor1Y(term_structure)
First, there is a term structure element created. Indeed a very simple one with a flat forward curve.
But what is the last line doing? Is it simply creating an object (or function?) that could be used to compute 1Y-vs-fix swap rates that are in line with that term structure?
Could I find the definition of that "Euribor1Y" in the quantlib-python documentation?
The same thing could probably be done for "Euribor6M" and others. But where could I find a list of all available such functions?
Thank you very much!