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From: Mike D. <mik...@gm...> - 2022-04-06 17:31:08
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Hi everyone, Since OIS (Fed Fund) swaps are discounted at SOFR at LCH, I just wanted to make sure I was using the OIS rate helper constructor properly. I'm using the following: https://github.com/lballabio/QuantLib/blob/08994cc5df150345ec4a1f756ff7f5c524c1147c/ql/termstructures/yield/oisratehelper.cpp#L29 It looks like the 5th parameter "Handle<YieldTermStructure> discount," is where I should be passing the discounting curve. Is this right? Thanks, Mike |