Eonia Swap

[Roland Lichters-2]

Hi Luigi, all,

it seems to me that there is no overnight index swap with daily compounding feature in QuantLib so far. Am I right or just blind :-)? In the former case I'd like to contribute index, coupon, instrument, helper.

Best,

Roland

------------------------------------------------------------------------------
This SF.net email is sponsored by:
SourcForge Community
SourceForge wants to tell your story.
http://p.sf.net/sfu/sf-spreadtheword
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Luigi Ballabio]

On Jan 26, 2009, at 4:25 PM, Roland Lichters wrote:
> it seems to me that there is no overnight index swap with daily  
> compounding feature in QuantLib so far. Am I right or just blind :-)?

You might be blind anyway, but you're right. :)

> In the former case I'd like to contribute index, coupon, instrument,  
> helper.

Ok, thanks a lot.

Luigi


------------------------------------------------------------------------------
This SF.net email is sponsored by:
SourcForge Community
SourceForge wants to tell your story.
http://p.sf.net/sfu/sf-spreadtheword
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Roland Lichters-2]

> Let's use experimental anyway, please. It leaves up some more freedom to
> change something if we come across some use case we didn't foresee.

Hi all,

I have committed the Eonia related files to ql/experimental/overnightswap.

Luigi, you will notice that I have used the BMA index, coupon etc as a template. Maybe we can rationalize there a bit.

In addition, find an example ois.cpp attached, just install it in your Examples directory locally, together with the three curve data files. 

Any feedback is welcome!

Regards,

Roland

------------------------------------------------------------------------------
This SF.net email is sponsored by:
SourcForge Community
SourceForge wants to tell your story.
http://p.sf.net/sfu/sf-spreadtheword
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev