Bond Market Association index. More...
#include <ql/indexes/bmaindex.hpp>
Inheritance diagram for BMAIndex:
Collaboration diagram for BMAIndex:
Public Member Functions | |
| BMAIndex (const 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_ |
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()
|
explicit |
Member Function Documentation
◆ isValidFixingDate()
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()
Implements InterestRateIndex.
Definition at line 71 of file bmaindex.cpp.
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◆ fixingSchedule()
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()
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_
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protected |
Definition at line 64 of file bmaindex.hpp.