RateHelper for bootstrapping over CME SOFR futures. More...
#include <ql/experimental/futures/overnightindexfutureratehelper.hpp>
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) | |
![]() | |
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 |
![]() | |
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 () |
![]() | |
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 () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
Additional Inherited Members | |
![]() | |
typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
![]() | |
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.