How QuantLib Euribor Indexes Use a Yield Curve
Summary
The document explains what happens when a QuantLib Euribor tenor index is constructed with a yield-curve handle. Euribor indexes represent interbank reference rates for specific maturities and can be used in instruments such as forward rate agreements, swaps, and caps. The tenor in the index name identifies the reference period, such as one year or six months.
The supplied term structure is used to estimate the index’s forward rates. The response identifies Euribor index classes as derivatives of the broader IborIndex type and suggests consulting the library documentation or source for available index definitions. The explanation is conceptual: it does not show how to calculate a swap rate, enumerate all supported indexes, or discuss conventions and curve calibration. A flat curve in the example is a simple input, so practical pricing depends on the curve and instrument setup.
Key ideas
- A Euribor index represents a reference interest rate for a specified tenor.
- The yield curve supplied to the index provides the basis for estimating its forward rates.
- Euribor indexes can be used in instruments including swaps, forward rate agreements, and caps.
- Euribor tenor classes belong to the broader IborIndex family.
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Full text
# QuantLib-Python: What is "index = Euribor1Y(term_structure)" doing?
# QuantLib-Python: What is "index = Euribor1Y(term_structure)" doing?
I am currently reading thorugh the QuantLib-Python cookbook to learn about this nice pice of software. On page 141 I encountered a block of code that made me wonder what it is exactly doing.
The code looks as follows:
```
today = Date(15, February, 2002);
settlement = Date(19, February, 2002); # four days because of the weekend
Settings.instance().evaluationDate = today;
term_structure = YieldTermStructureHandle(
FlatForward(settlement,0.04875825,Actual365Fixed())
)
index = Euribor1Y(term_structure)
```
First, there is a term structure element created. Indeed a very simple one with a flat forward curve.
But what is the last line doing? Is it simply creating an object (or function?) that could be used to compute 1Y-vs-fix swap rates that are in line with that term structure?
Could I find the definition of that "Euribor1Y" in the quantlib-python documentation?
The same thing could probably be done for "Euribor6M" and others. But where could I find a list of all available such functions?
Thank you very much!
Bernd
## Answer by byouness (score 2, accepted)
https://quant.stackexchange.com/a/40108
Euribor are Euro interebank interest rates (https://en.wikipedia.org/wiki/Euribor). They exist for various maturities (1Y, 6M, 3M, etc.).
It can be used in a FRA, interest rates swap, cap, etc.
The yield curve (or term structure object) passed in the constructor is the one that will be used to estimate the index's forward rates.
The Euribor classes derive from IborIndex, maybe having a look directly at the doc and the C++ code is the best option:Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.