SofrFutureRateHelper Class Reference

RateHelper for bootstrapping over CME SOFR futures. More...

#include <overnightindexfutureratehelper.hpp>

Inheritance diagram for SofrFutureRateHelper:

Collaboration diagram for SofrFutureRateHelper:

Public Member Functions
	SofrFutureRateHelper (const Handle< Quote > &price, Month referenceMonth, Year referenceYear, Frequency referenceFreq, const Handle< Quote > &convexityAdjustment={})
	SofrFutureRateHelper (Real price, Month referenceMonth, Year referenceYear, Frequency referenceFreq, Real convexityAdjustment=0.0)
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={}, RateAveraging::Type averagingMethod=RateAveraging::Compound)
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
void	accept (AcyclicVisitor &) override
Real	convexityAdjustment () const
Public Member Functions inherited from BootstrapHelper< TS >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)
	~BootstrapHelper () override=default
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 More...
virtual Date	latestRelevantDate () const
	latest relevant date More...
virtual Date	pillarDate () const
	pillar date More...
virtual Date	latestDate () const
	latest date More...
void	update () override
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 ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Additional Inherited Members
Public Types inherited from Observer
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_

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.

Definition at line 68 of file overnightindexfutureratehelper.hpp.

Constructor & Destructor Documentation

SofrFutureRateHelper() [1/2]

SofrFutureRateHelper	(	const Handle< Quote > &	price,
		Month	referenceMonth,
		Year	referenceYear,
		Frequency	referenceFreq,
		const Handle< Quote > &	convexityAdjustment = {}
	)

Definition at line 94 of file overnightindexfutureratehelper.cpp.

SofrFutureRateHelper() [2/2]

SofrFutureRateHelper	(	Real	price,
		Month	referenceMonth,
		Year	referenceYear,
		Frequency	referenceFreq,
		Real	convexityAdjustment = 0.0
	)

Definition at line 110 of file overnightindexfutureratehelper.cpp.