BMAIndexWrapper Class Reference

#include <qle/indexes/bmaindexwrapper.hpp>

Inheritance diagram for BMAIndexWrapper:

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Public Member Functions
	BMAIndexWrapper (const QuantLib::ext::shared_ptr< QuantLib::BMAIndex > &bma)
	BMAIndexWrapper (const QuantLib::ext::shared_ptr< QuantLib::BMAIndex > &bma, const Handle< YieldTermStructure > &h)
std::string	name () const override
bool	isValidFixingDate (const Date &date) const override
Handle< YieldTermStructure >	forwardingTermStructure () const
Date	maturityDate (const Date &valueDate) const override
Schedule	fixingSchedule (const Date &start, const Date &end)
Rate	forecastFixing (const Date &fixingDate) const override
Date	adjustedFixingDate (const Date &fixingDate) const
Rate	pastFixing (const Date &fixingDate) const override
QuantLib::ext::shared_ptr< IborIndex >	clone (const Handle< YieldTermStructure > &h) const override
QuantLib::ext::shared_ptr< QuantLib::BMAIndex >	bma () const
	operator QuantLib::BMAIndex & ()
	operator QuantLib::BMAIndex * ()

Private Attributes
QuantLib::ext::shared_ptr< QuantLib::BMAIndex >	bma_

Detailed Description

Wrapper that adapts the quantlib BMAIndex into a class inheriting from IborIndex The purpose of this is twofold: 1) we can use Market::iborIndex() to retrieve a BMA index 2) we can set up an IborCoupon using this index wrapper to approximate an AveragedBMACoupon at places where a pricer only supports an IborCoupon, e.g. for cap/floors or swaptions on BMA underlyings To make 2) work we tweak the implementations of isValidFixingDate(), maturityDate() and pastFixing() to make sure an Ibor coupon on this index class will behave gracefully.

Definition at line 44 of file bmaindexwrapper.hpp.

Constructor & Destructor Documentation

BMAIndexWrapper() [1/2]

BMAIndexWrapper

(

const QuantLib::ext::shared_ptr< QuantLib::BMAIndex > &

bma

)

Definition at line 48 of file bmaindexwrapper.hpp.

        : IborIndex(bma->name(), bma->tenor(), bma->fixingDays(), bma->currency(), bma->fixingCalendar(),
                    ModifiedFollowing, false, bma->dayCounter(), bma->forwardingTermStructure()),
          bma_(bma) {}

BMAIndexWrapper() [2/2]

BMAIndexWrapper	(	const QuantLib::ext::shared_ptr< QuantLib::BMAIndex > &	bma,
		const Handle< YieldTermStructure > &	h
	)

Definition at line 53 of file bmaindexwrapper.hpp.

        : IborIndex(bma->name(), bma->tenor(), bma->fixingDays(), bma->currency(), bma->fixingCalendar(),
                    ModifiedFollowing, false, bma->dayCounter(), h),
          bma_(new BMAIndex(h)) {}

Member Function Documentation

name()

std::string name ( ) const

override

Definition at line 59 of file bmaindexwrapper.hpp.

{ return bma_->name(); }

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isValidFixingDate()

bool isValidFixingDate ( const Date &  date ) const

override

Definition at line 60 of file bmaindexwrapper.hpp.

                                                            {
        // this is not the original BMA behaviour!
        return fixingCalendar().isBusinessDay(date);
    }

forwardingTermStructure()

Handle< YieldTermStructure > forwardingTermStructure

(

)

const

Definition at line 64 of file bmaindexwrapper.hpp.

{ return bma_->forwardingTermStructure(); }

maturityDate()

Date maturityDate ( const Date &  valueDate ) const

override

Definition at line 65 of file bmaindexwrapper.hpp.

                                                            {
        Date d = bma_->maturityDate(valueDate);
        // make sure that d > valueDate to avoid problems in IborCoupon, this is not the original
        // BMAIndex behaviour!
        return std::max<Date>(d, valueDate + 1);
    }

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fixingSchedule()

Schedule fixingSchedule	(	const Date &	start,
		const Date &	end
	)

Definition at line 71 of file bmaindexwrapper.hpp.

{ return bma_->fixingSchedule(start, end); }

forecastFixing()

Rate forecastFixing ( const Date &  fixingDate ) const

override

Definition at line 72 of file bmaindexwrapper.hpp.

                                                               {
        QL_REQUIRE(!termStructure_.empty(), "null term structure set to this instance of " << name());
        Date start = fixingCalendar().advance(fixingDate, 1, Days);
        Date end = maturityDate(start);
        return termStructure_->forwardRate(start, end, dayCounter_, Simple);
    }

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adjustedFixingDate()

Date adjustedFixingDate

(

const Date &

fixingDate

)

const

Definition at line 79 of file bmaindexwrapper.hpp.

                                                          {
        Date tmp = fixingDate;
        while (!bma_->isValidFixingDate(tmp) && tmp > Date::minDate())
            tmp--;
        return tmp;
    }

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pastFixing()

Rate pastFixing ( const Date &  fixingDate ) const

override

Definition at line 85 of file bmaindexwrapper.hpp.

                                                           {
        // we allow for fixing dates that are not valid BMA fixing dates, so we need to make sure that we
        // read a past fixing from a valid BMA fixing date
        return bma_->fixing(adjustedFixingDate(fixingDate));
    }

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clone()

QuantLib::ext::shared_ptr< IborIndex > clone ( const Handle< YieldTermStructure > &  h ) const

override

Definition at line 90 of file bmaindexwrapper.hpp.

                                                                                               {
        return QuantLib::ext::shared_ptr<BMAIndexWrapper>(new BMAIndexWrapper(bma(), h));
    }

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bma()

QuantLib::ext::shared_ptr< QuantLib::BMAIndex > bma

(

)

const

Definition at line 95 of file bmaindexwrapper.hpp.

{ return bma_; }

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operator QuantLib::BMAIndex &()

operator QuantLib::BMAIndex &

(

)

Definition at line 97 of file bmaindexwrapper.hpp.

{ return *bma_; }

operator QuantLib::BMAIndex *()

operator QuantLib::BMAIndex *

(

)

Definition at line 98 of file bmaindexwrapper.hpp.

{ return &*bma_; }

Member Data Documentation

bma_

QuantLib::ext::shared_ptr<QuantLib::BMAIndex> bma_

private

Definition at line 101 of file bmaindexwrapper.hpp.