Ibor Future
financepy.products.rates.ibor_future
Classes
IborFuture
IborFuture(today_dt: financepy.utils.date.Date, future_number: int, future_tenor: str = '3M', accrual_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.ACT_360: 8>, contract_size: float = 1000000)
Class for managing short term interest rate futures contracts.
Methods
to_fra
to_fra(self, futures_price, 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)
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, 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, volatility, 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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Do not edit this file manually.