quantlib.indexes.ibor.sofr.

Sofr

class Sofr(HandleYieldTermStructure yts=HandleYieldTermStructure())

Bases: OvernightIndex

Attributes:

business_day_convention

currency

day_counter

end_of_month

family_name

fixing_calendar

the calendar defining valid fixing dates

fixing_days

forwarding_term_structure

name

the name of the index

tenor

time_series

the fixing TimeSeries

Methods

add_fixing(self, Date fixingDate, ...)
add_fixings(self, list dates, list values, ...)
clear_fixings(self)
fixing(self, Date fixingDate, ...)
fixing_date(self, Date valueDate)
forecast_fixing(self, Date fixing_date)
from_name(market[, term_structure])	Create default IBOR for the market, modify attributes if provided
has_historical_fixing(self, Date d)
is_valid_fixing_date(self, Date fixing_date)
maturity_date(self, Date valueDate)
value_date(self, Date fixingDate)