QuantLib_BMASwap man page

BMASwap — swap paying Libor against BMA coupons

Synopsis

#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)

Inspectors

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

Results

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

Author

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), liborSpread(3), nominal(3) and type(3) are aliases of QuantLib_BMASwap(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib