QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Bond Market Association index. More...
#include <bmaindex.hpp>
Public Member Functions | |
BMAIndex (Handle< YieldTermStructure > h={}) | |
Index interface | |
bool | isValidFixingDate (const Date &fixingDate) const override |
Inspectors | |
Handle< YieldTermStructure > | forwardingTermStructure () 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 Currency & | currency () const |
const DayCounter & | dayCounter () 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 &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Public Member Functions inherited from Observer | |
Observer ()=default | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
virtual | ~Observer () |
std::pair< iterator, bool > | registerWith (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< YieldTermStructure > | termStructure_ |
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_ |
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.
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explicit |
BMA is fixed weekly on Wednesdays.
Implements Index.
Definition at line 54 of file bmaindex.cpp.
Handle< YieldTermStructure > forwardingTermStructure | ( | ) | const |
Definition at line 67 of file bmaindex.cpp.
Implements InterestRateIndex.
Definition at line 71 of file bmaindex.cpp.
This method returns a schedule of fixing dates between start and end.
Definition at line 78 of file bmaindex.cpp.
It can be overridden to implement particular conventions.
Implements InterestRateIndex.
Definition at line 87 of file bmaindex.cpp.
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protected |
Definition at line 64 of file bmaindex.hpp.