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.