QuantLib_BMASwap man page

BMASwap — swap paying Libor against BMA coupons  


#include <ql/instruments/bmaswap.hpp>

Inherits Swap.

Public Types

enum Type { Receiver = -1, Payer = 1 }

Public Member Functions

BMASwap (Type type, Real nominal, const Schedule &liborSchedule, Rate liborFraction, Rate liborSpread, const boost::shared_ptr< IborIndex > &liborIndex, const DayCounter &liborDayCount, const Schedule &bmaSchedule, const boost::shared_ptr< BMAIndex > &bmaIndex, const DayCounter &bmaDayCount)


Real liborFraction () const
Spread liborSpread () const
Real nominal () const
Type type () const
'payer' or 'receiver' refer to the BMA leg
const Leg & bmaLeg () const
const Leg & liborLeg () const


Real liborLegBPS () const
Real liborLegNPV () const
Rate fairLiborFraction () const
Spread fairLiborSpread () const
Real bmaLegBPS () const
Real bmaLegNPV () const

Additional Inherited Members

Detailed Description

swap paying Libor against BMA coupons


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

bmaLeg(3), bmaLegBPS(3), bmaLegNPV(3), BMASwap(3), fairLiborFraction(3), fairLiborSpread(3), liborFraction(3), liborLeg(3), liborLegBPS(3), liborLegNPV(3) and liborSpread(3) are aliases of QuantLib_BMASwap(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib