termStructure (3) - Linux Manuals

termStructure: Bond Market Association index.

NAME

QuantLib::BMAIndex - Bond Market Association index.

SYNOPSIS

#include <ql/indexes/bmaindex.hpp>

Inherits QuantLib::InterestRateIndex.

Public Member Functions

BMAIndex (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Index interface

std::string name () const

bool isValidFixingDate (const Date &fixingDate) const
returns TRUE if the fixing date is a valid one

InterestRateIndex interface

Handle< YieldTermStructure > termStructure () const

Date maturityDate (const Date &valueDate) const

Date calculations

Schedule fixingSchedule (const Date &start, const Date &end)

Protected Member Functions

Rate forecastFixing (const Date &fixingDate) const

Protected Attributes

Handle< YieldTermStructure > termStructure_

Detailed Description

Bond Market Association index.

The BMA index is the short-term tax-exempt reference index of the Bond Market Association. It has tenor one week, is fixed weekly on Wednesdays and is applied with a one-day's fixing gap from Thursdays on for one week. It is the tax-exempt correspondent of the 1M USD-Libor.

Member Function Documentation

std::string name () const [virtual]

BMA is fixed weekly on Wednesdays.

Reimplemented from InterestRateIndex.

Schedule fixingSchedule (const Date & start, const Date & end)

This method returns a schedule of fixing dates between start and end.

Author

Generated automatically by Doxygen for QuantLib from the source code.