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QuantLib::BMAIndex Class Reference

#include <bmaindex.hpp>

Inheritance diagram for QuantLib::BMAIndex:

QuantLib::InterestRateIndex QuantLib::Index QuantLib::Observer QuantLib::Observable

List of all 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.

Definition at line 40 of file bmaindex.hpp.


Public Member Functions

virtual void addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false)
 stores the historical fixing at the given date
template<class DateIterator, class ValueIterator>
void addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
 stores historical fixings at the given dates
void addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
 stores historical fixings from a TimeSeries
 BMAIndex (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
void clearFixings ()
 clears all stored historical fixings
void notifyObservers ()
void registerWith (const boost::shared_ptr< Observable > &)
const TimeSeries< Real > & timeSeries () const
 returns the fixing TimeSeries
void unregisterWith (const boost::shared_ptr< Observable > &)
Inspectors
const Currencycurrency () const
const DayCounterdayCounter () const
std::string familyName () const
Date fixingDate (const Date &valueDate) const
Natural fixingDays () const
Period tenor () const
Index interface
Rate fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const
 returns the fixing at the given date
Calendar fixingCalendar () const
 returns the calendar defining valid fixing dates
Date calculations
Schedule fixingSchedule (const Date &start, const Date &end)
Date maturityDate (const Date &valueDate) const
Inspectors
Handle< YieldTermStructureforwardingTermStructure () const
Index interface
bool isValidFixingDate (const Date &fixingDate) const
 returns TRUE if the fixing date is a valid one
std::string name () const
Observer interface
void update ()
Date calculations
These method can be overridden to implement particular conventions (e.g. EurLibor)

virtual Date valueDate (const Date &fixingDate) const

Protected Member Functions

Rate forecastFixing (const Date &fixingDate) const

Protected Attributes

Currency currency_
DayCounter dayCounter_
std::string familyName_
Calendar fixingCalendar_
Natural fixingDays_
Period tenor_
Handle< YieldTermStructuretermStructure_

The documentation for this class was generated from the following files:

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