overnightindexedcoupon.hpp

Langue: en

Version: 376578 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/cashflows/overnightindexedcoupon.hpp -

coupon paying the compounded daily overnight rate

SYNOPSIS


#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/time/schedule.hpp>

Classes


class OvernightIndexedCoupon
overnight coupon
class OvernightLeg
helper class building a sequence of overnight coupons

Detailed Description

coupon paying the compounded daily overnight rate

Author

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