Sofr Class Reference

Sofr (Secured Overnight Financing Rate) index. More...

#include <sofr.hpp>

Inheritance diagram for Sofr:

Collaboration diagram for Sofr:

Public Member Functions
	Sofr (const Handle< YieldTermStructure > &h={})
Public Member Functions inherited from OvernightIndex
	OvernightIndex (const std::string &familyName, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h={})
ext::shared_ptr< IborIndex >	clone (const Handle< YieldTermStructure > &h) const override
	returns a copy of itself linked to a different forwarding curve More...
Public Member Functions inherited from IborIndex
	IborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Handle< YieldTermStructure > h={})
Date	maturityDate (const Date &valueDate) const override
Rate	forecastFixing (const Date &fixingDate) const override
	It can be overridden to implement particular conventions. More...
BusinessDayConvention	businessDayConvention () const
bool	endOfMonth () const
Handle< YieldTermStructure >	forwardingTermStructure () const
	the curve used to forecast fixings More...
Public Member Functions inherited from InterestRateIndex
	InterestRateIndex (std::string familyName, const Period &tenor, Natural settlementDays, Currency currency, Calendar fixingCalendar, DayCounter dayCounter)
std::string	name () const override
	Returns the name of the index. More...
Calendar	fixingCalendar () const override
	returns the calendar defining valid fixing dates More...
bool	isValidFixingDate (const Date &fixingDate) const override
	returns TRUE if the fixing date is a valid one More...
Rate	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
	returns the fixing at the given date More...
void	update () override
std::string	familyName () const
Period	tenor () const
Natural	fixingDays () const
Date	fixingDate (const Date &valueDate) const
const Currency &	currency () const
const DayCounter &	dayCounter () const
virtual Date	valueDate (const Date &fixingDate) const
virtual Rate	pastFixing (const Date &fixingDate) const
Public Member Functions inherited from Index
	~Index () override=default
virtual std::string	name () const =0
	Returns the name of the index. More...
virtual Calendar	fixingCalendar () const =0
	returns the calendar defining valid fixing dates More...
virtual bool	isValidFixingDate (const Date &fixingDate) const =0
	returns TRUE if the fixing date is a valid one More...
bool	hasHistoricalFixing (const Date &fixingDate) const
	returns whether a historical fixing was stored for the given date More...
virtual Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const =0
	returns the fixing at the given date More...
const TimeSeries< Real > &	timeSeries () const
	returns the fixing TimeSeries More...
virtual bool	allowsNativeFixings ()
	check if index allows for native fixings. More...
virtual void	addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false)
	stores the historical fixing at the given date More...
void	addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
	stores historical fixings from a TimeSeries More...
template<class DateIterator , class ValueIterator >
void	addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
	stores historical fixings at the given dates More...
void	clearFixings ()
	clears all stored historical fixings More...
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 ()
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 ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from IborIndex
BusinessDayConvention	convention_
Handle< YieldTermStructure >	termStructure_
bool	endOfMonth_
Protected Attributes inherited from InterestRateIndex
std::string	familyName_
Period	tenor_
Natural	fixingDays_
Currency	currency_
DayCounter	dayCounter_
std::string	name_

Detailed Description

Sofr (Secured Overnight Financing Rate) index.

Definition at line 32 of file sofr.hpp.

Constructor & Destructor Documentation

Sofr()

Sofr ( const Handle< YieldTermStructure > &  h = {} )

explicit

Definition at line 27 of file sofr.cpp.