QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
averageois Directory Reference

Files

file  arithmeticaverageois.hpp
 Overnight index swap paying arithmetic average of overnight vs. fixed.
 
file  arithmeticoisratehelper.hpp
 Arithmetic Average Overnight Indexed Swap rate helpers.
 
file  averageoiscouponpricer.hpp
 pricer for arithmetically-averaged overnight-indexed coupons