QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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sofr.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2018 Roy Zywina
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
24
25namespace QuantLib {
26
28 : OvernightIndex("SOFR", 0, USDCurrency(),
30 Actual360(), h) {}
31
32}
act/360 day counter
American currencies.
Actual/360 day count convention.
Definition: actual360.hpp:37
Shared handle to an observable.
Definition: handle.hpp:41
Sofr(const Handle< YieldTermStructure > &h={})
Definition: sofr.cpp:27
U.S. dollar.
Definition: america.hpp:162
United States calendars.
Definition: any.hpp:35
SOFR index
US calendars.