THBThor Class Reference

THB-THOR index. More...

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

Inheritance diagram for THBThor:

Collaboration diagram for THBThor:

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

Detailed Description

THB-THOR index.

Benchmark rate for Thai Overnight Repurchase Rate (THOR). See https://www.bot.or.th/English/FinancialMarkets/Documents/THOR_userguide_EN.pdf.

Remarks

Using Thai calendar, to be checked whether identical to Bangkok.

Warning:

Check roll convention and EOM.

Definition at line 40 of file thor.hpp.

Constructor & Destructor Documentation

THBThor()

THBThor

(

const Handle< YieldTermStructure > &

h = Handle<YieldTermStructure>()

)

Definition at line 42 of file thor.hpp.

        : OvernightIndex("THB-THOR", 0, THBCurrency(), Thailand(), Actual365Fixed(), h) {}