Swap of arithmetic average overnight index against fixed. More...
#include <boost/make_shared.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/instruments/swap.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>
#include <qle/cashflows/averageonindexedcouponpricer.hpp>
Classes | |
class | AverageOIS |
Average overnight index swap. More... | |
Swap of arithmetic average overnight index against fixed.