QuantLib_BMAIndex man page

BMAIndex — Bond Market Association index.  

Synopsis

#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

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
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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Wed Aug 2 2017 Version 1.10 QuantLib