Re: [Quantlib-users] SOFR curve

[Luigi B. <lui...@gm...>]

Hi Philippe,
    you can use the PiecewiseYieldCurve class by passing it helpers that
model SOFR-based instruments.  As of the latest release,
both SofrFutureRateHelper and OISRateHelper are available.

Luigi


On Mon, Dec 11, 2023 at 5:09 PM 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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