Overnight index swap paying compounded overnight vs. another compounded overnight. More...
#include <ql/indexes/iborindex.hpp>
#include <ql/instruments/swap.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>
Classes | |
class | DoubleOvernightIndexedBasisSwap |
Double Overnight indexed basis swap: compounded overnight rate vs compounded overnight rate. More... | |
Overnight index swap paying compounded overnight vs. another compounded overnight.
\ingroup instruments