OvernightIndexedCrossCcyBasisSwapEngine Class Reference

#include <qle/pricingengines/oiccbasisswapengine.hpp>

Inheritance diagram for OvernightIndexedCrossCcyBasisSwapEngine:

Public Member Functions
	OvernightIndexedCrossCcyBasisSwapEngine (const Handle< YieldTermStructure > &ts1, const Currency &ccy1, const Handle< YieldTermStructure > &ts2, const Currency &ccy2, const Handle< Quote > &fx)
void	calculate () const override
Handle< YieldTermStructure >	ts1 ()
Handle< YieldTermStructure >	ts2 ()
Currency	ccy1 ()
Currency	ccy2 ()
Handle< Quote >	fx ()

Detailed Description

Overnight Indexed Cross Currency Basis Swap Engine