overnightindexedswap.hpp File Reference

Overnight index swap paying compounded overnight vs. fixed. More...

#include <ql/cashflows/rateaveraging.hpp>
#include <ql/instruments/fixedvsfloatingswap.hpp>
#include <ql/time/businessdayconvention.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>

Go to the source code of this file.

Classes
class	OvernightIndexedSwap
	Overnight indexed swap: fix vs compounded overnight rate. More...

Namespaces
namespace	QuantLib

Detailed Description

Overnight index swap paying compounded overnight vs. fixed.

Definition in file overnightindexedswap.hpp.