Bond Market Association index. More...
#include <ql/indexes/bmaindex.hpp>
Public Member Functions | |
BMAIndex (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) | |
QL_DEPRECATED | BMAIndex (const Handle< YieldTermStructure > &h, const Calendar &fixingCalendar) |
Index interface | |
bool | isValidFixingDate (const Date &fixingDate) const |
Inspectors | |
Handle< YieldTermStructure > | forwardingTermStructure () const |
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InterestRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency ¤cy, const Calendar &fixingCalendar, const DayCounter &dayCounter) | |
std::string | name () const |
Returns the name of the index. More... | |
Calendar | fixingCalendar () const |
returns the calendar defining valid fixing dates | |
bool | isValidFixingDate (const Date &fixingDate) const |
returns TRUE if the fixing date is a valid one | |
Rate | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const |
returns the fixing at the given date More... | |
void | update () |
std::string | familyName () const |
Period | tenor () const |
Natural | fixingDays () const |
Date | fixingDate (const Date &valueDate) const |
const Currency & | currency () const |
const DayCounter & | dayCounter () const |
virtual Date | valueDate (const Date &fixingDate) const |
virtual Rate | pastFixing (const Date &fixingDate) const |
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const TimeSeries< Real > & | timeSeries () const |
returns the fixing TimeSeries | |
virtual bool | allowsNativeFixings () |
check if index allows for native fixings. More... | |
virtual void | addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false) |
stores the historical fixing at the given date More... | |
void | addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false) |
stores historical fixings from a TimeSeries More... | |
template<class DateIterator , class ValueIterator > | |
void | addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false) |
stores historical fixings at the given dates More... | |
void | clearFixings () |
clears all stored historical fixings | |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | deepUpdate () |
Date calculations | |
Handle< YieldTermStructure > | termStructure_ |
Date | maturityDate (const Date &valueDate) const |
Schedule | fixingSchedule (const Date &start, const Date &end) |
Rate | forecastFixing (const Date &fixingDate) const |
It can be overridden to implement particular conventions. | |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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std::string | familyName_ |
Period | tenor_ |
Natural | fixingDays_ |
Currency | currency_ |
DayCounter | dayCounter_ |
std::string | name_ |
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.
QL_DEPRECATED BMAIndex | ( | const Handle< YieldTermStructure > & | h, |
const Calendar & | fixingCalendar | ||
) |
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virtual |
BMA is fixed weekly on Wednesdays.
Implements Index.