QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
overnightindexedswap.hpp File Reference

Overnight index swap paying compounded overnight vs. fixed. More...

#include <ql/cashflows/rateaveraging.hpp>
#include <ql/instruments/fixedvsfloatingswap.hpp>
#include <ql/time/businessdayconvention.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>

Go to the source code of this file.

Classes

class  OvernightIndexedSwap
 Overnight indexed swap: fix vs compounded overnight rate. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Overnight index swap paying compounded overnight vs. fixed.

Definition in file overnightindexedswap.hpp.