averageois.hpp File Reference

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...

Detailed Description

Swap of arithmetic average overnight index against fixed.