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overnightindexedswap.hpp
Langue: en
Version: 375569 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/instruments/overnightindexedswap.hpp -Overnight index swap paying compounded overnight vs. fixed.
SYNOPSIS
#include <ql/instruments/swap.hpp>
#include <ql/time/daycounter.hpp>
Classes
class OvernightIndexedSwap
Overnight indexed swap: fix vs compounded overnight rate.
Detailed Description
Overnight index swap paying compounded overnight vs. fixed.
Author
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