ibor future

financepy.products.rates.ibor_future

Class

IborFuture

IborFuture(
    today_dt: Date,
    future_number: int,
    future_tenor: str = '3M',
    accrual_dc_type: DayCountTypes = <DayCountTypes.ACT_360: 8>,
    contract_size: float = 1000000,
) -> None

Class for managing short term interest rate futures contracts.

Methods

to_fra


to_fra(
    self,
    futures_price: float,
    convexity,
)

Convert the futures contract to a IborFRA object so it can be used to boostrap a Ibor curve. For this we need to adjust the futures rate using the convexity correction.

futures_rate


futures_rate(
    self,
    futures_price: float,
)

Calculate implied futures rate from the futures price.

accrual_factor


accrual_factor(
    self,
)

Return the accrual factor for the futures interest period.

basis_point_value


basis_point_value(
    self,
)

Return the cash value of one basis point move in futures price.

settlement_amount


settlement_amount(
    self,
    futures_price: float,
    settlement_price: float,
    num_contracts: float = 1.0,
)

Return the cash settlement amount for a futures price move. The amount is for a long position. Use a negative number of contracts for a short position. Prices are quoted in futures price points, for example 97.50.

fra_rate


fra_rate(
    self,
    futures_price: float,
    convexity,
)

Convert futures price and convexity to a FRA rate using the BBG negative convexity (in percent). This is then divided by 100 before being added to the futures rate.

convexity


convexity(
    self,
    value_dt: Date,
    volatility: float,
    mean_reversion,
)

Calculation of the convexity adjustment between FRAs and interest rate futures using the Hull-White model as described in technical note in link below: http://www-2.rotman.utoronto.ca/~hull/TechnicalNotes/TechnicalNote1.pdf NOTE THIS DOES NOT APPEAR TO AGREE WITH BLOOMBERG!! INVESTIGATE.

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