Sonia term index, see https://www.bankofengland.co.uk/-/media/boe/files/markets/benchmarks/rfr/rfrwg-term-sonia-reference-rate-summary.pdf# More...
#include <qle/indexes/ibor/sonia.hpp>
Public Member Functions | |
SoniaTerm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) | |
Public Member Functions inherited from TermRateIndex | |
TermRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Handle< YieldTermStructure > h=Handle< YieldTermStructure >(), const boost::shared_ptr< OvernightIndex > &rfrIndex=nullptr) | |
boost::shared_ptr< OvernightIndex > | rfrIndex () const |