SoniaTerm Class Reference

Sonia term index, see https://www.bankofengland.co.uk/-/media/boe/files/markets/benchmarks/rfr/rfrwg-term-sonia-reference-rate-summary.pdf# More...

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

Inheritance diagram for SoniaTerm:

Collaboration diagram for SoniaTerm:

Public Member Functions
	SoniaTerm (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

Sonia term index, see https://www.bankofengland.co.uk/-/media/boe/files/markets/benchmarks/rfr/rfrwg-term-sonia-reference-rate-summary.pdf#

Definition at line 32 of file sonia.hpp.

Constructor & Destructor Documentation

SoniaTerm()

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

Definition at line 28 of file sonia.cpp.

    : TermRateIndex("GBP-SONIATerm", tenor, 2, GBPCurrency(), UnitedKingdom(UnitedKingdom::Exchange), ModifiedFollowing,
                    false, Actual360(), h, QuantLib::ext::make_shared<QuantLib::Sonia>(h)) {}