makeoiscapfloor.hpp File Reference

helper class to instantiate standard market OIS cap / floors More...

#include <qle/cashflows/overnightindexedcoupon.hpp>
#include <ql/instruments/capfloor.hpp>

Go to the source code of this file.

Classes
class	MakeOISCapFloor

Namespaces
namespace	QuantExt

Functions
Leg	getOisCapFloorUnderlying (const Leg &oisCapFloor)
	get the underlying ON coupons from an OIS cf More...
std::vector< std::pair< Real, Real > >	getOisCapFloorStrikes (const Leg &oisCapFloor)
	get the (cap, floor) - strikes from an OIS cf More...

Detailed Description

helper class to instantiate standard market OIS cap / floors

Definition in file makeoiscapfloor.hpp.