-1
$\begingroup$

Can i get an example of how to use quantlib python FRAratehelper?

I would like to use it to get discount factors, with 3month Jibar as a reference rate.

$\endgroup$
  • $\begingroup$ suggest you go to their github or webpage $\endgroup$ – PeacePanda Nov 28 '19 at 11:26
1
$\begingroup$

FraRateHelper has several possible forms of the constructor, but try this:

import QuantLib as ql
rate = 0.50
start = 3
euribor6m = ql.Euribor6M()
ql.FraRateHelper(ql.QuoteHandle(ql.SimpleQuote(rate/100)), start, euribor6m)

Check out a working example (Euribor curve bootstrapping) in the QuantLib Cookbook

| improve this answer | |
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.