ql/instruments/overnightindexedswap.hpp File Reference
Overnight index swap paying compounded overnight vs. fixed. More...
#include <ql/instruments/swap.hpp>
#include <ql/time/daycounter.hpp>
Include dependency graph for overnightindexedswap.hpp:

Classes | |
class | OvernightIndexedSwap |
Overnight indexed swap: fix vs compounded overnight rate. More... |
Detailed Description
Overnight index swap paying compounded overnight vs. fixed.