QuantLib_AverageBMACoupon man page

AverageBMACoupon — Average BMA coupon.

Synopsis

#include <ql/cashflows/averagebmacoupon.hpp>

Inherits FloatingRateCoupon.

Public Member Functions

AverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter())

FloatingRateCoupon interface

Date fixingDate () const
not applicable here; use fixingDates() instead
std::vector< Date > fixingDates () const
fixing dates of the rates to be averaged
Rate indexFixing () const
not applicable here; use indexFixings() instead
std::vector< Rate > indexFixings () const
fixings of the underlying index to be averaged
Rate convexityAdjustment () const
not applicable here

Visitability

void accept (AcyclicVisitor &)

Additional Inherited Members

Detailed Description

Average BMA coupon.

Coupon paying a BMA index, where the coupon rate is a weighted average of relevant fixings.

The weighted average is computed based on the actual calendar days for which a given fixing is valid and contributing to the given interest period.

Before weights are computed, the fixing schedule is adjusted for the index's fixing day gap. See rate() method for details.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

AverageBMACoupon(3), convexityAdjustment(3), fixingDate(3), fixingDates(3), indexFixing(3) and indexFixings(3) are aliases of QuantLib_AverageBMACoupon(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib