doubleoibasisswap.hpp File Reference

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...

Detailed Description

Overnight index swap paying compounded overnight vs. another compounded overnight.

\ingroup instruments