LMEForwardCurve
LMEForwardCurve#
-
class sigtech.framework.instruments.lme_otc.LMEForwardCurve
Auxiliary class for interpolating forward prices for a given
underlying_ticker
LME underlying.-
forward_price(d: datetime.date, delivery_date: datetime.date) float
Maturity-corresponding forward quote as seen on
d
.- Parameters
d – Input date.
delivery_date – Delivery date.
- Returns
Forward quote.