helper class to instantiate standard market OIS cap / floors More...
Classes | |
class | MakeOISCapFloor |
Functions | |
Leg | getOisCapFloorUnderlying (const Leg &oisCapFloor) |
get the underlying ON coupons from an OIS cf | |
std::vector< std::pair< Real, Real > > | getOisCapFloorStrikes (const Leg &oisCapFloor) |
get the (cap, floor) - strikes from an OIS cf | |
helper class to instantiate standard market OIS cap / floors