- QuantLib
- BMAIndex
Bond Market Association index. More...
#include <ql/indexes/bmaindex.hpp>
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_ |
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.
std::string name | ( | ) | const [virtual] |
BMA is fixed weekly on Wednesdays.
Reimplemented from InterestRateIndex.
Schedule fixingSchedule | ( | const Date & | start, |
const Date & | end | ||
) |
This method returns a schedule of fixing dates between start and end.