Interest Rate

DepositRateHelper

ql.DepositRateHelper(quote, tenor, fixingDays, calendar, convention, endOfMonth, dayCounter)

quote = ql.QuoteHandle(ql.SimpleQuote(0.05))
tenor = ql.Period('6M')
fixingDays = 2
calendar = ql.TARGET()
convention = ql.ModifiedFollowing
endOfMonth = False
dayCounter = ql.Actual360()
ql.DepositRateHelper(quote, tenor, fixingDays, calendar, convention, endOfMonth, dayCounter)

ql.DepositRateHelper(rate, tenor, fixingDays, calendar, convention, endOfMonth, dayCounter)

ql.DepositRateHelper(0.05, ql.Period('6M'), 2, ql.TARGET(), ql.ModifiedFollowing, False, ql.Actual360())

ql.DepositRateHelper(quote, index)

ql.DepositRateHelper(ql.QuoteHandle(ql.SimpleQuote(0.05)), ql.Euribor6M())

ql.DepositRateHelper(rate, index)

ql.DepositRateHelper(0.05, ql.Euribor6M());

FraRateHelper

from months with quote

ql.FraRateHelper(quote, monthsToStart, monthsToEnd, fixingDays, calendar, convention, endOfMonth, dayCounter, pillar=ql.Pillar.LastRelevantDate, customPillarDate=ql.Date(), useIndexedCoupon=True)

quote = ql.QuoteHandle(ql.SimpleQuote(0.05))
monthsToStart = 1
monthsToEnd = 7
fixingDays = 2
calendar = ql.TARGET()
convention = ql.ModifiedFollowing
endOfMonth = False
dayCounter = ql.Actual360()
ql.FraRateHelper(quote, monthsToStart, monthsToEnd, fixingDays, calendar, convention, endOfMonth, dayCounter)
ql.FraRateHelper(quote, monthsToStart, monthsToEnd, fixingDays, calendar, convention, endOfMonth, dayCounter, ql.Pillar.LastRelevantDate)
ql.FraRateHelper(quote, monthsToStart, monthsToEnd, fixingDays, calendar, convention, endOfMonth, dayCounter, ql.Pillar.LastRelevantDate, ql.Date())
ql.FraRateHelper(quote, monthsToStart, monthsToEnd, fixingDays, calendar, convention, endOfMonth, dayCounter, ql.Pillar.LastRelevantDate, ql.Date(), True)

from months with rate

ql.FraRateHelper(rate, monthsToStart, monthsToEnd, fixingDays, calendar, convention, endOfMonth, dayCounter, pillar=ql.Pillar.LastRelevantDate, customPillarDate=ql.Date(), useIndexedCoupon=True)

rate = 0.05
monthsToStart = 1
monthsToEnd = 7
fixingDays = 2
calendar = ql.TARGET()
convention = ql.ModifiedFollowing
endOfMonth = False
dayCounter = ql.Actual360()
ql.FraRateHelper(rate, monthsToStart, monthsToEnd, fixingDays, calendar, convention, endOfMonth, dayCounter)
ql.FraRateHelper(rate, monthsToStart, monthsToEnd, fixingDays, calendar, convention, endOfMonth, dayCounter, ql.Pillar.LastRelevantDate)
ql.FraRateHelper(rate, monthsToStart, monthsToEnd, fixingDays, calendar, convention, endOfMonth, dayCounter, ql.Pillar.LastRelevantDate, ql.Date())
ql.FraRateHelper(rate, monthsToStart, monthsToEnd, fixingDays, calendar, convention, endOfMonth, dayCounter, ql.Pillar.LastRelevantDate, ql.Date(), True)

from quote, monthsToStart and index

ql.FraRateHelper(quote, monthsToStart, index, pillar=ql.Pillar.LastRelevantDate, customPillarDate=ql.Date(), useIndexedCoupon=True)

quote = ql.QuoteHandle(ql.SimpleQuote(0.05))
monthsToStart = 1
index = ql.Euribor6M()
ql.FraRateHelper(quote, monthsToStart, index)
ql.FraRateHelper(quote, monthsToStart, index, ql.Pillar.LastRelevantDate)
ql.FraRateHelper(quote, monthsToStart, index, ql.Pillar.LastRelevantDate, ql.Date())
ql.FraRateHelper(quote, monthsToStart, index, ql.Pillar.LastRelevantDate, ql.Date(), True)

from price, monthsToStart and index

ql.FraRateHelper(rate, monthsToStart, index, pillar=ql.Pillar.LastRelevantDate, customPillarDate=ql.Date(), useIndexedCoupon=True)

rate = 0.05
monthsToStart = 1
index = ql.Euribor6M()
h = ql.FraRateHelper(rate, monthsToStart, index)
ql.FraRateHelper(rate, monthsToStart, index, ql.Pillar.LastRelevantDate)
ql.FraRateHelper(rate, monthsToStart, index, ql.Pillar.LastRelevantDate, ql.Date())
ql.FraRateHelper(rate, monthsToStart, index, ql.Pillar.LastRelevantDate, ql.Date(), True)

from quote, immOffsets and index

ql.FraRateHelper(quote, immOffsetStart, immOffsetEnd, index, pillar=ql.Pillar.LastRelevantDate, customPillarDate=ql.Date(), useIndexedCoupon=True)

quote = ql.QuoteHandle(ql.SimpleQuote(0.05))
immOffsetStart = 1
immOffsetEnd = 2
index = ql.Euribor6M()
ql.FraRateHelper(quote, immOffsetStart, immOffsetEnd, index)
ql.FraRateHelper(quote, immOffsetStart, immOffsetEnd, index, ql.Pillar.LastRelevantDate)
ql.FraRateHelper(quote, immOffsetStart, immOffsetEnd, index, ql.Pillar.LastRelevantDate, ql.Date())
ql.FraRateHelper(quote, immOffsetStart, immOffsetEnd, index, ql.Pillar.LastRelevantDate, ql.Date(), True)

Futures

FuturesRateHelper

ql.FuturesRateHelper(price, iborStartDate, iborIndex, convexityAdjustment=0.0, type=ql.Futures.IMM)

price = 100
index = ql.Euribor3M()
iborStartDate = ql.Date(17,6,2020)
ql.FuturesRateHelper(price, iborStartDate, index)
ql.FuturesRateHelper(price, iborStartDate, index, 0.01)
ql.FuturesRateHelper(price, iborStartDate, index, 0.01, ql.Futures.IMM)
ql.FuturesRateHelper(price, ql.Date(8,5,2020), index, 0.01, ql.Futures.ASX)

ql.FuturesRateHelper(quote, iborStartDate, iborIndex, convexityAdjustment=ql.QuoteHandle(), type=ql.Futures.IMM)

quote = ql.QuoteHandle(ql.SimpleQuote(100))
index = ql.Euribor3M()
iborStartDate = ql.Date(17,6,2020)
convexityAdjustment = ql.QuoteHandle(ql.SimpleQuote(0.01))
ql.FuturesRateHelper(quote, iborStartDate, index)
ql.FuturesRateHelper(quote, iborStartDate, index, convexityAdjustment)
ql.FuturesRateHelper(quote, iborStartDate, index, convexityAdjustment, ql.Futures.IMM)
ql.FuturesRateHelper(quote, ql.Date(8,5,2020), index, convexityAdjustment, ql.Futures.ASX)

ql.FuturesRateHelper(price, iborStartDate, lengthInMonths, calendar, convention, endOfMonth, dayCounter, convexityAdjustment=0.0, type=ql.Futures.IMM)

price = 100
iborStartDate = ql.Date(17,6,2020)
lengthInMonths = 3
calendar = ql.TARGET()
convention = ql.Following
endOfMonth = False
dayCounter = ql.Actual360()
ql.FuturesRateHelper (price, iborStartDate, lengthInMonths, calendar, convention, endOfMonth, dayCounter)
ql.FuturesRateHelper (price, iborStartDate, lengthInMonths, calendar, convention, endOfMonth, dayCounter, 0.01)
ql.FuturesRateHelper (price, iborStartDate, lengthInMonths, calendar, convention, endOfMonth, dayCounter, 0.01, ql.Futures.IMM)

ql.FuturesRateHelper(price, iborStartDate, lengthInMonths, calendar, convention, endOfMonth, dayCounter, convexityAdjustment=0.0, type=ql.Futures.IMM)

quote = ql.QuoteHandle(ql.SimpleQuote(100))
iborStartDate = ql.Date(17,6,2020)
lengthInMonths = 3
calendar = ql.TARGET()
convention = ql.Following
endOfMonth = False
dayCounter = ql.Actual360()
convexityAdjustment = ql.QuoteHandle(ql.SimpleQuote(0.01))
ql.FuturesRateHelper (quote, iborStartDate, lengthInMonths, calendar, convention, endOfMonth, dayCounter)
ql.FuturesRateHelper (quote, iborStartDate, lengthInMonths, calendar, convention, endOfMonth, dayCounter, convexityAdjustment)
ql.FuturesRateHelper (quote, iborStartDate, lengthInMonths, calendar, convention, endOfMonth, dayCounter, convexityAdjustment, ql.Futures.IMM)

ql.FuturesRateHelper(price, iborStartDate, iborEndDate, dayCounter, convexityAdjustment=0.0, ql.Futures.IMM)

price = 100
iborStartDate = ql.Date(17,6,2020)
iborEndDate = ql.Date(17,9,2020)
dayCounter = ql.Actual360()
ql.FuturesRateHelper (price, iborStartDate, iborEndDate, dayCounter)
ql.FuturesRateHelper (price, iborStartDate, iborEndDate, dayCounter, 0.01)
ql.FuturesRateHelper (price, iborStartDate, iborEndDate, dayCounter, 0.01, ql.Futures.IMM)

ql.FuturesRateHelper(quote, iborStartDate, iborEndDate, dayCounter, convexityAdjustment=ql.QuoteHandle(), ql.Futures.IMM)

quote = ql.QuoteHandle(ql.SimpleQuote(100))
iborStartDate = ql.Date(17,6,2020)
iborEndDate = ql.Date(17,9,2020)
dayCounter = ql.Actual360()
convexityAdjustment = ql.QuoteHandle(ql.SimpleQuote(0.01))
ql.FuturesRateHelper (quote, iborStartDate, iborEndDate, dayCounter)
ql.FuturesRateHelper (quote, iborStartDate, iborEndDate, dayCounter, convexityAdjustment)
ql.FuturesRateHelper (quote, iborStartDate, iborEndDate, dayCounter, convexityAdjustment, ql.Futures.IMM)

OvernightIndexFutureRateHelper

ql.OvernightIndexFutureRateHelper(quote, valueDate, maturityDate, overnightIndex, convexityAdjustmentQuote=ql.QuoteHandle(), nettingType=ql.OvernightIndexFuture.Compounding)

Netting Types:

• Averaging

• Compounding

overnightIndex = ql.FedFunds()
priceQuote = ql.QuoteHandle(ql.SimpleQuote(99.92))
valueDate = ql.Date(3, 7, 2017)
maturityDate = ql.Date(30, 6, 2020 )
convexityAdjustment = ql.QuoteHandle()
netting = ql.OvernightIndexFuture.Averaging
future = ql.OvernightIndexFutureRateHelper(priceQuote, valueDate, maturityDate, overnightIndex)
future = ql.OvernightIndexFutureRateHelper(priceQuote, valueDate, maturityDate, overnightIndex, convexityAdjustment, netting)

SofrFutureRateHelper

ql.SofrFutureRateHelper(price, month, year, frequency, index)

ql.SofrFutureRateHelper(priceQuote, month, year, frequency, index)

price = 99.915
ql.SofrFutureRateHelper(price, 3, 2020, ql.Quarterly, ql.Sofr())

priceQuote = ql.QuoteHandle(ql.SimpleQuote(price))
ql.SofrFutureRateHelper(priceQuote, 3, 2020, ql.Quarterly, ql.Sofr())

ql.SofrFutureRateHelper(price, month, year, frequency, index, convexityAdjustment=0)

ql.SofrFutureRateHelper(priceQuote, month, year, frequency, index, convexityAdjustmentQuote=ql.QuoteHandle())

price = 99.915
convexityAdjustment = 0.004
ql.SofrFutureRateHelper(price, 3, 2020, ql.Quarterly, ql.Sofr(), convexityAdjustment)

priceQuote = ql.QuoteHandle(ql.SimpleQuote(price))
convexityAdjustmentQuote = ql.QuoteHandle(ql.SimpleQuote(convexityAdjustment))
ql.SofrFutureRateHelper(priceQuote, 3, 2020, ql.Quarterly, ql.Sofr(), convexityAdjustmentQuote)

ql.SofrFutureRateHelper(price, month, year, frequency, index, convexityAdjustment=0, nettingType=ql.OvernightIndexFuture.Compounding)

ql.SofrFutureRateHelper(priceQuote, month, year, frequency, index, convexityAdjustment=0, nettingType=ql.OvernightIndexFuture.Compounding)

Netting Types:

• Averaging

• Compounding

price = 99.915
convexityAdjustment = 0.004
ql.SofrFutureRateHelper(price, 3, 2020, ql.Quarterly, ql.Sofr(), 0.004, ql.OvernightIndexFuture.Averaging)

priceQuote = ql.QuoteHandle(ql.SimpleQuote(price))
convexityAdjustmentQuote = ql.QuoteHandle(ql.SimpleQuote(convexityAdjustment))

ql.SofrFutureRateHelper(priceQuote,3,2020,ql.Quarterly, ql.Sofr(), convexityAdjustmentQuote, ql.OvernightIndexFuture.Compounding)

IMM

(Not a helper)

ql.IMM.date(codeString, date=ql.Date())`

ql.IMM.date('M0')
ql.IMM.date('M0', ql.Date(20,6,2020))

ql.IMM.code(immDate)

immDate = ql.Date(16,12,2020)
ql.IMM.code(immDate)

ql.IMM.isIMMcode(codeString, mainCycle=True)

ql.IMM.isIMMcode('M0')
ql.IMM.isIMMcode('H0', True)

ql.IMM.isIMMdate(date, mainCycle=True)

dt = ql.Date(15,1,2020)
ql.IMM.isIMMdate(dt, True)

dates = ql.MakeSchedule(ql.Date(16,3,2020), ql.Date(16,12,2020), ql.Period('1M'))
list(map(ql.IMM.isIMMdate, dates))

ql.IMM.nextCode()

ql.IMM.nextCode(date)

ql.IMM.nextCode(date, mainCycle=True)

ql.IMM.nextCode(codeString)

ql.IMM.nextCode(codeString, mainCycle=True)

ql.IMM.nextCode(codeString, mainCycle=True, refDate)

ql.IMM.nextCode()
ql.IMM.nextCode(ql.Date(7,5,2020))
ql.IMM.nextCode(ql.Date(7,5,2020), False)
ql.IMM.nextCode('K0')
ql.IMM.nextCode('K0', False)
ql.IMM.nextCode('M9', False, ql.Date(16,8,2019))

ql.IMM.nextDate()

ql.IMM.nextDate(date)

ql.IMM.nextDate(date, mainCycle=True)

ql.IMM.nextDate(codeString)

ql.IMM.nextDate(codeString, mainCycle=True)

ql.IMM.nextDate(codeString, mainCycle=True, refDate)

ql.IMM.nextDate()
ql.IMM.nextDate(ql.Date(7,5,2020))
ql.IMM.nextDate(ql.Date(7,5,2020), False)
ql.IMM.nextDate('K0')
ql.IMM.nextDate('K0', False)
ql.IMM.nextDate('M9', False, ql.Date(16,8,2019))

SwapRateHelper

ql.SwapRateHelper(rate, swapIndex, spread=0, fwdStart=ql.Period(), discountingCurve=ql.YieldTermStructureHandle, pillar=ql.Pillar.LastRelevantDate, customPillarDate=ql.Date(), endOfMonth=Dalse)

rate = 0.05
swapIndex = ql.EuriborSwapIsdaFixA(ql.Period('1y'))
spread = ql.QuoteHandle(ql.SimpleQuote(0.0))
ql.SwapRateHelper(rate, ql.EuriborSwapIsdaFixA(ql.Period('1y')))
ql.SwapRateHelper(rate, ql.EuriborSwapIsdaFixA(ql.Period('1y')), spread)
ql.SwapRateHelper(rate, ql.EuriborSwapIsdaFixA(ql.Period('1y')), spread, ql.Period('1M'))
discountCurve = ql.YieldTermStructureHandle(ql.FlatForward(2, ql.TARGET(), 0.05, ql.Actual360()))
ql.SwapRateHelper(rate, ql.EuriborSwapIsdaFixA(ql.Period('1y')), spread, ql.Period(), discountCurve)

ql.SwapRateHelper(quote, tenor, calendar, fixedFrequency, fixedConvention, fixedDayCount, iborIndex, spread=ql.QuoteHandle(), fwdStart=ql.Period(), discountingCurve=ql.YieldTermStructureHandle(), settlementDays=Null< Natural >(), pillar=ql.Pillar.LastRelevantDate, customPillarDate=ql.Date(), endOfMonth=False)

quote = ql.QuoteHandle(ql.SimpleQuote(0.05))
swapIndex = ql.EuriborSwapIsdaFixA(ql.Period('1y'))
spread = ql.QuoteHandle(ql.SimpleQuote(0.0))
ql.SwapRateHelper(quote, ql.EuriborSwapIsdaFixA(ql.Period('1y')))
ql.SwapRateHelper(quote, ql.EuriborSwapIsdaFixA(ql.Period('1y')), spread)
ql.SwapRateHelper(quote, ql.EuriborSwapIsdaFixA(ql.Period('1y')), spread, ql.Period('1M'))
discountCurve = ql.YieldTermStructureHandle(ql.FlatForward(2, ql.TARGET(), 0.05, ql.Actual360()))
ql.SwapRateHelper(quote, ql.EuriborSwapIsdaFixA(ql.Period('1y')), spread, ql.Period(), discountCurve)

ql.SwapRateHelper(quote, tenor, calendar, fixedFrequency, fixedConvention, fixedDayCount, iborIndex, spread=ql.QuoteHandle(), fwdStart=ql.Period(), discountingCurve=ql.YieldTermStructureHandle(), settlementDays, pillar=ql.Pillar.LastRelevantDate, customPillarDate=ql.Date(), endOfMonth=False)

rate = ql.QuoteHandle(ql.SimpleQuote(0.05))
tenor = ql.Period('5Y')
fixedFrequency = ql.Annual
fixedConvention = ql.Following
fixedDayCount = ql.Thirty360()
iborIndex = ql.Euribor6M()
ql.SwapRateHelper(rate, tenor, calendar, fixedFrequency, fixedConvention, fixedDayCount, iborIndex)

ql.SwapRateHelper(rate, tenor, calendar, fixedFrequency, fixedConvention, fixedDayCount, iborIndex, spread=ql.QuoteHandle(), fwdStart=ql.Period(), discountingCurve=ql.YieldTermStructureHandle(), settlementDays, pillar=ql.Pillar.LastRelevantDate, customPillarDate=ql.Date(), endOfMonth=False)

rate = 0.05
tenor = ql.Period('5Y')
fixedFrequency = ql.Annual
fixedConvention = ql.Following
fixedDayCount = ql.Thirty360()
iborIndex = ql.Euribor6M()
ql.SwapRateHelper(rate, tenor, calendar, fixedFrequency, fixedConvention, fixedDayCount, iborIndex)

OISRateHelper

ql.OISRateHelper(settlementDays, tenor, fixedRate, overnightIndex, discountingCurve=ql.YieldTermStructureHandle(), telescopicValueDates=False, paymentLag=0, paymentConvention=ql.Following, paymentFrequency=ql.Annual, paymentCalendar=ql.Calendar(), forwardStart=ql.Period(), overnightSpread=0.0, pillar=ql.Pillar.LastRelevantDate, customPillarDate=qlDate())

forward6mLevel = 0.025
forward6mQuote = ql.QuoteHandle(ql.SimpleQuote(forward6mLevel))
yts6m = ql.FlatForward(0, ql.TARGET(), forward6mQuote, ql.Actual365Fixed() )
yts6mh = ql.YieldTermStructureHandle(yts6m)
oishelper = ql.OISRateHelper(2,ql.Period("3M"), ql.QuoteHandle(ql.SimpleQuote(0.01)), ql.Eonia(yts6mh),yts6mh, True)

DatedOISRateHelper

ql.DatedOISRateHelper(startDate, endDate, fixedRate, overnightIndex, discountingCurve=ql.YieldTermStructureHandle(), telescopicValueDates=False)

startDate = ql.Date(15,6,2020)
endDate = ql.Date(15,6,2021)
fixedRate = ql.QuoteHandle(ql.SimpleQuote(0.05))
overnightIndex = ql.Eonia()
ql.DatedOISRateHelper(startDate, endDate, fixedRate, overnightIndex)

FxSwapRateHelper

ql.FxSwapRateHelper(fwdPoint, spotFx, tenor, fixingDays, calendar, convention, endOfMonth, isFxBaseCurrencyCollateralCurrency, collateralCurve)

ql.FxSwapRateHelper(fwdPoint, spotFx, tenor, fixingDays, calendar, convention, endOfMonth, isFxBaseCurrencyCollateralCurrency, collateralCurve, tradingCalendar=Calendar())

yts = ql.YieldTermStructureHandle(ql.FlatForward(2, ql.TARGET(), 0.02, ql.Actual360()))
spot = ql.QuoteHandle(ql.SimpleQuote(1.10))
fwdPoints = ql.QuoteHandle(ql.SimpleQuote(122.29))
ql.FxSwapRateHelper(fwdPoints, spot, ql.Period('6M'), 2, ql.TARGET(), ql.Following, False, True, yts)

CrossCurrencyBasisSwapRateHelper

ql.CrossCurrencyBasisSwapRateHelper(basis, tenor, fixingDays, calendar, convention, endOfMonth, baseCurrencyIndex, quoteCurrencyIndex, collateralCurve, isFxBaseCurrencyCollateralCurrency, isBasisOnFxBaseCurrencyLeg)

eur_curve = ql.YieldTermStructureHandle(ql.FlatForward(2, ql.TARGET(), 0.01, ql.Actual360()))
usd_curve = ql.YieldTermStructureHandle(ql.FlatForward(2, ql.TARGET(), 0.02, ql.Actual360()))

basis = ql.QuoteHandle(ql.SimpleQuote(0.005))
tenor = ql.Period('1Y')
fixingDays = 2
calendar = ql.TARGET()
convention = ql.ModifiedFollowing
endOfMonth = True
baseCurrencyIndex = ql.USDLibor(ql.Period('3M'), usd_curve)
quoteCurrencyIndex = ql.Euribor3M(eur_curve)
collateralCurve = ql.YieldTermStructureHandle(ql.FlatForward(2, ql.TARGET(), 0.05, ql.Actual360()))
isFxBaseCurrencyCollateralCurrency = False
isBasisOnFxBaseCurrencyLeg = False

helper = ql.CrossCurrencyBasisSwapRateHelper(
    basis, tenor, fixingDays, calendar, convention, endOfMonth,
    baseCurrencyIndex, quoteCurrencyIndex, collateralCurve,
    isFxBaseCurrencyCollateralCurrency, isBasisOnFxBaseCurrencyLeg)

FixedRateBondHelper

ql.FixedRateBondHelper(price, settlementDays, faceAmount, schedule, coupons, dayCounter, paymentConv=Following, redemption=100.0, issueDate=Date(), paymentCalendar=Calendar(), exCouponPeriod=Period(), exCouponCalendar=Calendar(), exCouponConvention=Unadjusted, exCouponEndOfMonth=False, useCleanPrice=True)

quote = ql.QuoteHandle(ql.SimpleQuote(115.5))
settlementDays = 2
faceAmount = 100
schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(15,6,2021), ql.Period('1y'))
coupons = [0.0195]
dayCounter = ql.Actual360()
helper = ql.FixedRateBondHelper(quote, settlementDays, faceAmount, schedule, coupons, dayCounter)

BondHelper

ql.BondHelper(cleanPrice, bond, useCleanPrice=True)

bond = ql.FixedRateBond(
    2, ql.TARGET(), 100.0, ql.Date(15,12,2019), ql.Date(15,12,2024),
    ql.Period('1Y'), [0.05], ql.Actual360())

cleanPrice = ql.QuoteHandle(ql.SimpleQuote(115))
ql.BondHelper(cleanPrice, bond)

BondHelperVector

ql.BondHelperVector()

bond_helpers = ql.BondHelperVector()
bond_helpers.append(bond_helper)

RateHelperVector

ql.RateHelperVector()

helpers = ql.RateHelperVector()
helpers.append(ql.DepositRateHelper(0.05, ql.Euribor6M()))