THBThor Class Reference

THB-THOR index. More...

#include <qle/indexes/ibor/thor.hpp>

Inheritance diagram for THBThor:

Public Member Functions
	THBThor (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Detailed Description

THB-THOR index.

Benchmark rate for Thai Overnight Repurchase Rate (THOR). See https://www.bot.or.th/English/FinancialMarkets/Documents/THOR_userguide_EN.pdf.

Remarks

Using Thai calendar, to be checked whether identical to Bangkok.

Warning

Check roll convention and EOM.