corra.hpp File Reference

Canadian Overnight Repo Rate Average (CORRA) index class. More...

#include <ql/currencies/america.hpp>
#include <ql/time/calendars/canada.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <qle/indexes/ibor/termrateindex.hpp>

Go to the source code of this file.

Classes
class	CORRA
	CORRA rate More...
class	CORRATerm

Namespaces
namespace	QuantExt

Detailed Description

Canadian Overnight Repo Rate Average (CORRA) index class.

Definition in file corra.hpp.