2011/11/20 Shuo Wang <
[hidden email]>:
> Hi,
>
> If I have an interest rate swap, that the floating leg is paying the
> compounded 7 day Repo rate on quarterly basis. What is the best way to
> fit into quantlib? I have checked around, this is pretty much same as
> the OvernightIndexedSwap, however, it doesnt seem that I can inherit
> OvernightIndexedSwap and change the compounding period to 7 days on
> the floating leg.
I'm not sure, but the SubPeriodsCoupon class in
<ql/experimental/coupons/subperiodcoupons.hpp> might behave as you
need. Let me know if that works.
Luigi
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