Re: [Quantlib-users] SOFR curve

[Mike D. <mik...@gm...>]

Yes, it’s documented pretty well in the cookbook available online. You use
several classes (deposit/future/swap rate helpers) to complete the
bootstrapping.

If you want the fancy stair-stepped front end then you may need to use
additional deposit rate helpers to override/control those points
explicitly.

Regards,
Mike



On Mon, Dec 11, 2023 at 10:09 philippe hatstadt via QuantLib-users <
qua...@li...> wrote:

> 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
>
>
>
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