averageois.hpp File Reference

Swap of arithmetic average overnight index against fixed. More...

#include <boost/make_shared.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/instruments/swap.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>
#include <qle/cashflows/averageonindexedcouponpricer.hpp>

Go to the source code of this file.

Classes
class	AverageOIS
	Average overnight index swap. More...

Namespaces
namespace	QuantExt

Detailed Description

Swap of arithmetic average overnight index against fixed.

Definition in file averageois.hpp.