Sora Class Reference

SGD SORA rate More...

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

Inheritance diagram for Sora:

Collaboration diagram for Sora:

Public Member Functions
	Sora (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Detailed Description

SGD SORA rate

Singapore Overnight Rate Average (SORA).

See https://www.mas.gov.sg/monetary-policy/sora.

Remarks

There is a publication lag of 1 business day. Using Malaysian calendar, should be Singapore.

Definition at line 45 of file sora.hpp.

Constructor & Destructor Documentation

Sora()

Sora

(

const Handle< YieldTermStructure > &

h = Handle<YieldTermStructure>()

)

Definition at line 47 of file sora.hpp.

        : OvernightIndex("SGD-SORA", 0, SGDCurrency(), Singapore(), Actual365Fixed(), h) {}