bmaindex.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Roland Lichters
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_bma_index_hpp
#define quantlib_bma_index_hpp
 
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/indexes/interestrateindex.hpp>
#include <ql/time/schedule.hpp>
 
namespace QuantLib {
 
 
    class BMAIndex : public InterestRateIndex {
      public:
        explicit BMAIndex(const Handle<YieldTermStructure>& h = {});
 
 
        bool isValidFixingDate(const Date& fixingDate) const override;
 
        Handle<YieldTermStructure> forwardingTermStructure() const;
 
        Date maturityDate(const Date& valueDate) const override;
        Schedule fixingSchedule(const Date& start,
                                const Date& end);
        // @}
      protected:
        Rate forecastFixing(const Date& fixingDate) const override;
        Handle<YieldTermStructure> termStructure_;
    };
 
}
 
#endif