QuantLib_BMAIndex man page

BMAIndex — Bond Market Association index.  


#include <ql/indexes/bmaindex.hpp>

Inherits 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


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
It can be overridden to implement particular conventions.

Protected Attributes

Handle< YieldTermStructure > termStructure_

Additional Inherited Members

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.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BMAIndex(3), fixingSchedule(3), forecastFixing(3), forwardingTermStructure(3), isValidFixingDate(3), maturityDate(3) and termStructure_(3) are aliases of QuantLib_BMAIndex(3).

Fri Jun 2 2017 Version 1.10 QuantLib