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QuantLib_BMAIndex
Langue: en
Version: 376161 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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
Inspectors
Handle< YieldTermStructure > forwardingTermStructure () const
Date calculations
Date maturityDate (const Date &valueDate) const
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 () constBMA 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
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Contenus ©2006-2024 Benjamin Poulain
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