A free/open-source library for quantitative finance
Reference manual - version 1.12
ql
experimental
averageois
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
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