makeoiscapfloor.hpp File Reference

helper class to instantiate standard market OIS cap / floors More...

#include <qle/cashflows/overnightindexedcoupon.hpp>
#include <ql/instruments/capfloor.hpp>

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

Detailed Description

helper class to instantiate standard market OIS cap / floors