CORRATerm Class Reference

#include <qle/indexes/ibor/corra.hpp>

Inheritance diagram for CORRATerm:

Collaboration diagram for CORRATerm:

Public Member Functions
	CORRATerm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
Public Member Functions inherited from TermRateIndex
	TermRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Handle< YieldTermStructure > h=Handle< YieldTermStructure >(), const QuantLib::ext::shared_ptr< OvernightIndex > &rfrIndex=nullptr)
QuantLib::ext::shared_ptr< OvernightIndex >	rfrIndex () const

Detailed Description

Definition at line 45 of file corra.hpp.

Constructor & Destructor Documentation

CORRATerm()

CORRATerm	(	const Period &	tenor,
		const Handle< YieldTermStructure > &	h = Handle<YieldTermStructure>()
	)

Definition at line 47 of file corra.hpp.

        : TermRateIndex("CAD-CORRATerm", tenor, 2, CADCurrency(), Canada(), ModifiedFollowing, false, Actual365Fixed(), h,
                        QuantLib::ext::make_shared<CORRA>(h)) {}