BMASwap (3) Linux Manual Page
QuantLib::BMASwap – swap paying Libor against BMA coupons
Synopsis
#include <ql/instruments/bmaswap.hpp>Inherits QuantLib::Swap.
Public Types
enum Type { Receiver = -1, Payer = 1 }Public Member Functions
BMASwap (Type type, Real nominal, const Schedule &liborSchedule, Rate liborFraction, Rate liborSpread, const boost::shared_ptr< IborIndex > &liborIndex, const DayCounter &liborDayCount, const Schedule &bmaSchedule, const boost::shared_ptr< BMAIndex > &bmaIndex, const DayCounter &bmaDayCount)Inspectors
Real liborFraction () const
Spread liborSpread () const
Real nominal () const
Type type () const
‘payer’ or ‘receiver’ refer to the BMA leg
const Leg & bmaLeg () const
const Leg & liborLeg () const
Results
Real liborLegBPS () const
Real liborLegNPV () const
Rate fairLiborFraction () const
Spread fairLiborSpread () const
Real bmaLegBPS () const
Real bmaLegNPV () const