RateHelper for bootstrapping over CME SOFR futures. More...
#include <overnightindexfutureratehelper.hpp>
Inheritance diagram for SofrFutureRateHelper:
Collaboration diagram for SofrFutureRateHelper:
Public Member Functions | |
| SofrFutureRateHelper (const Handle< Quote > &price, Month referenceMonth, Year referenceYear, Frequency referenceFreq, const Handle< Quote > &convexityAdjustment={}) | |
| SofrFutureRateHelper (Real price, Month referenceMonth, Year referenceYear, Frequency referenceFreq, Real convexityAdjustment=0.0) | |
| Public Member Functions inherited from OvernightIndexFutureRateHelper | |
| OvernightIndexFutureRateHelper (const Handle< Quote > &price, const Date &valueDate, const Date &maturityDate, const ext::shared_ptr< OvernightIndex > &overnightIndex, const Handle< Quote > &convexityAdjustment={}, RateAveraging::Type averagingMethod=RateAveraging::Compound) | |
| Real | impliedQuote () const override |
| void | setTermStructure (YieldTermStructure *) override |
| void | accept (AcyclicVisitor &) override |
| Real | convexityAdjustment () const |
| Public Member Functions inherited from BootstrapHelper< TS > | |
| BootstrapHelper (Handle< Quote > quote) | |
| BootstrapHelper (Real quote) | |
| ~BootstrapHelper () override=default | |
| const Handle< Quote > & | quote () const |
| Real | quoteError () const |
| virtual void | setTermStructure (TS *) |
| sets the term structure to be used for pricing More... | |
| virtual Date | earliestDate () const |
| earliest relevant date More... | |
| virtual Date | maturityDate () const |
| instrument's maturity date More... | |
| virtual Date | latestRelevantDate () const |
| latest relevant date More... | |
| virtual Date | pillarDate () const |
| pillar date More... | |
| virtual Date | latestDate () const |
| latest date More... | |
| void | update () override |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~Observer () |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | update ()=0 |
| virtual void | deepUpdate () |
| Public Member Functions inherited from Observable | |
| Observable () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Attributes inherited from BootstrapHelper< TS > | |
| Handle< Quote > | quote_ |
| TS * | termStructure_ |
| Date | earliestDate_ |
| Date | latestDate_ |
| Date | maturityDate_ |
| Date | latestRelevantDate_ |
| Date | pillarDate_ |
Detailed Description
RateHelper for bootstrapping over CME SOFR futures.
It compounds overnight SOFR rates from the third Wednesday of the reference month/year (inclusive) to the third Wednesday of the month one Month/Quarter later (exclusive).
It requires the index history to be populated when the reference period starts in the past.
Definition at line 68 of file overnightindexfutureratehelper.hpp.
Constructor & Destructor Documentation
◆ SofrFutureRateHelper() [1/2]
| SofrFutureRateHelper | ( | const Handle< Quote > & | price, |
| Month | referenceMonth, | ||
| Year | referenceYear, | ||
| Frequency | referenceFreq, | ||
| const Handle< Quote > & | convexityAdjustment = {} |
||
| ) |
Definition at line 98 of file overnightindexfutureratehelper.cpp.
◆ SofrFutureRateHelper() [2/2]
| SofrFutureRateHelper | ( | Real | price, |
| Month | referenceMonth, | ||
| Year | referenceYear, | ||
| Frequency | referenceFreq, | ||
| Real | convexityAdjustment = 0.0 |
||
| ) |
Definition at line 114 of file overnightindexfutureratehelper.cpp.