oisratehelper.hpp

Langue: en

Version: 373524 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/termstructures/yield/oisratehelper.hpp -

Overnight Indexed Swap (aka OIS) rate helpers.

SYNOPSIS


#include <ql/termstructures/yield/ratehelpers.hpp>
#include <ql/instruments/overnightindexedswap.hpp>

Classes


class OISRateHelper
Rate helper for bootstrapping over Overnight Indexed Swap rates.
class DatedOISRateHelper
Rate helper for bootstrapping over Overnight Indexed Swap rates.

Detailed Description

Overnight Indexed Swap (aka OIS) rate helpers.

Author

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