Hi Stéphane,
On Mon, 2008-02-25 at 14:57 +0100, Hamard, Stéphane wrote:
> I want to price overnight index swap, but the swap functions allow
> only IborIndex.
> Do you know a work around to define and use compounded index?
It's not much of a workaround. You can inherit a class from Coupon which
calculates the amounts of your overnight-index swap, create a vector of
cash-flows containing your coupons, and use the Swap class instead of
VanillaSwap.
Luigi
P.S. If you can contribute it, I'll be glad to include it in the
library.
--
Flon's Law:
There is not now, and never will be, a language in
which it is the least bit difficult to write bad programs.
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