oiccbasisswap.hpp File Reference

Cross currency overnight index swap paying compounded overnight vs. float. More...

#include <ql/currency.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/instruments/swap.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>

Go to the source code of this file.

Classes
class	OvernightIndexedCrossCcyBasisSwap
	Basis swap: compounded overnight rate in ccy 1 vs. compounded overnight rate in ccy 2. More...
class	OvernightIndexedCrossCcyBasisSwap::arguments
class	OvernightIndexedCrossCcyBasisSwap::results
class	OvernightIndexedCrossCcyBasisSwap::engine

Namespaces
namespace	QuantExt

Detailed Description

Cross currency overnight index swap paying compounded overnight vs. float.

\ingroup instruments

Definition in file oiccbasisswap.hpp.