Re: [Quantlib-users] SOFR curve

[Philippe H. <pha...@ma...>]

Thank you. Which cookbook are you referring to Mike? Where can I find it? Regards Philippe Hatstadt 203-252-0408 pha...@ma... On Dec 11, 2023, at 11:14 AM, Mike DelMedico <mik...@gm...> wrote: 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 _______________________________________________ QuantLib-users mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-users