mdelmedico

This is a great idea. Would allow users much more flexibility in controlling the front end of the curve, using instruments such as 'tomorrows FRA,' which fixes T+1, values T+3,...

Not sure if this is of any help or not, but after playing around with different types of RateHelpers, I found that if you do the discount factor calculation and...

That’s correct Tom. The whole reason I brought it up is I think I’m trying to do something similar by using explicit FRAs to control the front end of the...

@tomwhoiscontrary I don't think DepositRateHelpers allow you to specify a start date for the deposit, but they do allow for a tenor input. The easiest way I can think to...

Here's the CME example for settlement calculations on both 3M and 1M SOFR futures (link below). This should help make a set of tests for both types of contracts. Start...