QuantLib_Cdor (3) Linux Manual Page

QuantLib::Cdor – CDOR rate

Synopsis

#include <ql/indexes/ibor/cdor.hpp>

Inherits QuantLib::IborIndex.

Public Member Functions

Cdor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Detailed Description

CDOR rate

Canadian Dollar Offered Rate fixed by IDA.

Warning

This is the rate fixed in Canada by IDA. Use CADLibor if you’re interested in the London fixing by BBA.

Possible enhancements

check settlement days, end-of-month adjustment, and day-count convention.

Author

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