floatfloatswap.hpp File Reference

swap exchanging capped floored Libor or CMS coupons with quite general specification. If no payment convention is given, the respective leg schedule convention is used. The interest rate indices should be linked to valid forwarding and in case of swap indices discounting curves More...

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

Go to the source code of this file.

Classes
class	FloatFloatSwap
	float float swap More...
class	FloatFloatSwap::arguments
	Arguments for float float swap calculation More...
class	FloatFloatSwap::results
	Results from float float swap calculation More...
class	FloatFloatSwap::engine

Namespaces
namespace	QuantLib

Detailed Description

swap exchanging capped floored Libor or CMS coupons with quite general specification. If no payment convention is given, the respective leg schedule convention is used. The interest rate indices should be linked to valid forwarding and in case of swap indices discounting curves

Definition in file floatfloatswap.hpp.