CNYRepoFix Class Reference

CNY-CNREPOFIX=CFXS-Reuters index. More...

#include <qle/indexes/ibor/cnyrepofix.hpp>

Inheritance diagram for CNYRepoFix:

Public Member Functions
	CNYRepoFix (const QuantLib::Period &tenor, const QuantLib::Handle< QuantLib::YieldTermStructure > &h=QuantLib::Handle< QuantLib::YieldTermStructure >())

Detailed Description

CNY-CNREPOFIX=CFXS-Reuters index.

CNY repo fixing rate published by the China Foreign Exchange Trade System (CFETS). See http://www.chinamoney.com.cn/english/bmkfrr. The 7 day maturity rate is the ISDA Floating Rate Option defined in section 7.1(ah) of supplement number 21 to the 2006 ISDA definitions.

Remarks

We have used the China inter-bank market calendar for the fixing calendar here. The ISDA definitions refer to Beijing Banking Day as the business days. They may be one and the same.