[Quantlib-users] Pricing of CAP and Swaption with Quantlib

[Christofer B. <bog...@gm...>]

Hi,

I am just wondering if there is any implementation to price some
Interest Rate Caps and Swaptions where payoff is based on Overnight
rate contrary to present Libor references.

So far I can only see QL implementation based on Libor.

Any reference to OI based pricing would be appreciated.

Thanks and regards,