Re: [Quantlib-users] USD OIS Curve Discounted at SOFR

[Peter C. <pca...@gm...>]

That’s exactly right, Mike.

Mike DelMedico <mik...@gm...> schrieb am Mi. 6. Apr. 2022 um
19:32:

> 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
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