QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
SofrFutureRateHelper Class Reference

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 > &quote)
 
 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 &)
 
Observeroperator= (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 &)
 
Observableoperator= (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< Quotequote_
 
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.