RateHelper for bootstrapping over CME SOFR futures. More...
#include <ql/experimental/futures/overnightindexfutureratehelper.hpp>
Inheritance diagram for SofrFutureRateHelper:Public Member Functions | |
| SofrFutureRateHelper (const Handle< Quote > &price, Month referenceMonth, Year referenceYear, Frequency referenceFreq, const ext::shared_ptr< OvernightIndex > &overnightIndex, const Handle< Quote > &convexityAdjustment=Handle< Quote >(), OvernightIndexFuture::NettingType subPeriodsNettingType=OvernightIndexFuture::Compounding) | |
| SofrFutureRateHelper (Real price, Month referenceMonth, Year referenceYear, Frequency referenceFreq, const ext::shared_ptr< OvernightIndex > &overnightIndex, Real convexityAdjustment=0, OvernightIndexFuture::NettingType subPeriodsNettingType=OvernightIndexFuture::Compounding) | |
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=Handle< Quote >(), OvernightIndexFuture::NettingType subPeriodsNettingType=OvernightIndexFuture::Compounding) | |
| Real | impliedQuote () const |
| void | setTermStructure (YieldTermStructure *) |
| void | accept (AcyclicVisitor &) |
| Real | convexityAdjustment () const |
Public Member Functions inherited from BootstrapHelper< TS > | |
| BootstrapHelper (const Handle< Quote > "e) | |
| BootstrapHelper (Real quote) | |
| 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 | |
| virtual Date | latestRelevantDate () const |
| latest relevant date More... | |
| virtual Date | pillarDate () const |
| pillar date | |
| virtual Date | latestDate () const |
| latest date More... | |
| virtual void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const 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 | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| 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_ |
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.