overnightindexedswap.hpp

Langue: en

Version: 375569 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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