overnightindexedcoupon.hpp File Reference

coupon paying the compounded daily overnight rate, copy of QL class, added includeSpread flag More...

#include <ql/cashflows/couponpricer.hpp>
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/indexes/iborindex.hpp>
#include <ql/time/schedule.hpp>

Classes
class	OvernightIndexedCoupon
	overnight coupon More...
class	OvernightIndexedCouponPricer
	OvernightIndexedCoupon pricer. More...
class	CappedFlooredOvernightIndexedCoupon
	capped floored overnight indexed coupon More...
class	CappedFlooredOvernightIndexedCouponPricer
	capped floored overnight indexed coupon pricer base class More...
class	OvernightLeg
	helper class building a sequence of overnight coupons More...

Detailed Description

coupon paying the compounded daily overnight rate, copy of QL class, added includeSpread flag