Cross currency overnight index swap paying compounded overnight vs. float. More...
#include <ql/currency.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/instruments/swap.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/time/schedule.hpp>
Classes | |
class | OvernightIndexedCrossCcyBasisSwap |
Basis swap: compounded overnight rate in ccy 1 vs. compounded overnight rate in ccy 2. More... | |
class | OvernightIndexedCrossCcyBasisSwap::arguments |
class | OvernightIndexedCrossCcyBasisSwap::results |
class | OvernightIndexedCrossCcyBasisSwap::engine |
Cross currency overnight index swap paying compounded overnight vs. float.
\ingroup instruments