arithmeticaverageois.hpp File Reference

Overnight index swap paying arithmetic average of overnight vs. fixed. More...

#include <ql/instruments/swap.hpp>
#include <ql/time/daycounter.hpp>

Go to the source code of this file.

Classes
class	ArithmeticAverageOIS
	Arithemtic Average OIS: fix vs arithmetic average of overnight rate. More...

Namespaces
namespace	QuantLib

Detailed Description

Overnight index swap paying arithmetic average of overnight vs. fixed.

Definition in file arithmeticaverageois.hpp.