sofr.cpp

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/*
 Copyright (C) 2019 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
#include <qle/indexes/ibor/sofr.hpp>
 
#include <ql/currencies/america.hpp>
#include <ql/indexes/ibor/sofr.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <ql/time/daycounters/actual360.hpp>
 
namespace QuantExt {
 
SofrTerm::SofrTerm(const Period& tenor, const Handle<YieldTermStructure>& h)
    : TermRateIndex("USD-SOFRTerm", tenor, 2, USDCurrency(), UnitedStates(UnitedStates::SOFR), ModifiedFollowing, false,
                    Actual360(), h, QuantLib::ext::make_shared<Sofr>(h)) {}
 
} // namespace QuantExt