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From: philippe h. <pha...@ma...> - 2023-12-11 16:06:18
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Does QuantLib have a class to build and bootstrap a SOFR forecasting and discounting curve, using as inputs either term fixed-floating OIS swap rates or better yet a blend of SOFR futures and OIS for longer tenors? Regards Philippe Hatstadt +1-203-252-0408 |