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Public Member Functions | List of all members
BMAIndex Class Reference

Bond Market Association index. More...

#include <bmaindex.hpp>

+ Inheritance diagram for BMAIndex:
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Public Member Functions

 BMAIndex (Handle< YieldTermStructure > h={})
 
Index interface
bool isValidFixingDate (const Date &fixingDate) const override
 
Inspectors
Handle< YieldTermStructureforwardingTermStructure () const
 
- Public Member Functions inherited from InterestRateIndex
 InterestRateIndex (std::string familyName, const Period &tenor, Natural settlementDays, Currency currency, Calendar fixingCalendar, DayCounter dayCounter)
 
std::string name () const override
 Returns the name of the index. More...
 
Calendar fixingCalendar () const override
 returns the calendar defining valid fixing dates More...
 
bool isValidFixingDate (const Date &fixingDate) const override
 returns TRUE if the fixing date is a valid one More...
 
Rate fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
 returns the fixing at the given date More...
 
void update () override
 
std::string familyName () const
 
Period tenor () const
 
Natural fixingDays () const
 
Date fixingDate (const Date &valueDate) const
 
const Currencycurrency () const
 
const DayCounterdayCounter () const
 
virtual Date valueDate (const Date &fixingDate) const
 
virtual Rate pastFixing (const Date &fixingDate) const
 
- Public Member Functions inherited from Index
 ~Index () override=default
 
virtual std::string name () const =0
 Returns the name of the index. More...
 
virtual Calendar fixingCalendar () const =0
 returns the calendar defining valid fixing dates More...
 
virtual bool isValidFixingDate (const Date &fixingDate) const =0
 returns TRUE if the fixing date is a valid one More...
 
bool hasHistoricalFixing (const Date &fixingDate) const
 returns whether a historical fixing was stored for the given date More...
 
virtual Real fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const =0
 returns the fixing at the given date More...
 
const TimeSeries< Real > & timeSeries () const
 returns the fixing TimeSeries More...
 
virtual bool allowsNativeFixings ()
 check if index allows for native fixings. More...
 
virtual void addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false)
 stores the historical fixing at the given date More...
 
void addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
 stores historical fixings from a TimeSeries More...
 
template<class DateIterator , class ValueIterator >
void addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
 stores historical fixings at the given dates More...
 
void clearFixings ()
 clears all stored historical fixings More...
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 

Date calculations

Handle< YieldTermStructuretermStructure_
 
Date maturityDate (const Date &valueDate) const override
 
Schedule fixingSchedule (const Date &start, const Date &end)
 
Rate forecastFixing (const Date &fixingDate) const override
 It can be overridden to implement particular conventions. More...
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from InterestRateIndex
std::string familyName_
 
Period tenor_
 
Natural fixingDays_
 
Currency currency_
 
DayCounter dayCounter_
 
std::string name_
 

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.

Constructor & Destructor Documentation

◆ BMAIndex()

BMAIndex ( Handle< YieldTermStructure h = {})
explicit

Definition at line 43 of file bmaindex.cpp.

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Member Function Documentation

◆ isValidFixingDate()

bool isValidFixingDate ( const Date fixingDate) const
overridevirtual

BMA is fixed weekly on Wednesdays.

Implements Index.

Definition at line 54 of file bmaindex.cpp.

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◆ forwardingTermStructure()

Handle< YieldTermStructure > forwardingTermStructure ( ) const

Definition at line 67 of file bmaindex.cpp.

◆ maturityDate()

Date maturityDate ( const Date valueDate) const
overridevirtual

Implements InterestRateIndex.

Definition at line 71 of file bmaindex.cpp.

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◆ fixingSchedule()

Schedule fixingSchedule ( const Date start,
const Date end 
)

This method returns a schedule of fixing dates between start and end.

Definition at line 78 of file bmaindex.cpp.

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◆ forecastFixing()

Rate forecastFixing ( const Date fixingDate) const
overrideprotectedvirtual

It can be overridden to implement particular conventions.

Implements InterestRateIndex.

Definition at line 87 of file bmaindex.cpp.

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Member Data Documentation

◆ termStructure_

Handle<YieldTermStructure> termStructure_
protected

Definition at line 64 of file bmaindex.hpp.