BMAIndex Class Reference

Bond Market Association index. More...

#include <ql/indexes/bmaindex.hpp>

Inheritance diagram for BMAIndex:

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
 
Inspectors
Handle< YieldTermStructureforwardingTermStructure () const
 
Date calculations
Date maturityDate (const Date &valueDate) const
 
Schedule fixingSchedule (const Date &start, const Date &end)
 
- Public Member Functions inherited from InterestRateIndex
 InterestRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, const DayCounter &dayCounter)
 
std::string name () const
 Returns the name of the index.
 
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
 
void update ()
 
std::string familyName () const
 
Period tenor () const
 
Natural fixingDays () const
 
Date fixingDate (const Date &valueDate) const
 
const Currencycurrency () const
 
const DayCounterdayCounter () const
 
virtual Date valueDate (const Date &fixingDate) const
 
Rate pastFixing (const Date &fixingDate) const
 
- Public Member Functions inherited from Index
const TimeSeries< Real > & timeSeries () const
 returns the fixing TimeSeries
 
virtual void addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false)
 stores the historical fixing at the given date
 
void addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
 stores historical fixings from a TimeSeries
 
template<class DateIterator , class ValueIterator >
void addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
 stores historical fixings at the given dates
 
void clearFixings ()
 clears all stored historical fixings
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Member Functions

Rate forecastFixing (const Date &fixingDate) const
 It can be overridden to implement particular conventions.
 

Protected Attributes

Handle< YieldTermStructuretermStructure_
 
- Protected Attributes inherited from InterestRateIndex
std::string familyName_
 
Period tenor_
 
Natural fixingDays_
 
Currency currency_
 
DayCounter dayCounter_
 

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.

Implements Index.

Schedule fixingSchedule ( const Date start,
const Date end 
)

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