SofrTerm Class Reference

Sofr term index, see https://www.cmegroup.com/market-data/cme-group-benchmark-administration/term-sofr.html# More...

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

Inheritance diagram for SofrTerm:

Collaboration diagram for SofrTerm:

Public Member Functions
	SofrTerm (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

Sofr term index, see https://www.cmegroup.com/market-data/cme-group-benchmark-administration/term-sofr.html#

Definition at line 32 of file sofr.hpp.

Constructor & Destructor Documentation

SofrTerm()

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

Definition at line 28 of file sofr.cpp.

    : TermRateIndex("USD-SOFRTerm", tenor, 2, USDCurrency(), UnitedStates(UnitedStates::SOFR), ModifiedFollowing, false,
                    Actual360(), h, QuantLib::ext::make_shared<Sofr>(h)) {}