NAME

QuantLib::BMAIndex - Bond Market Association index.

SYNOPSIS


#include <ql/indexes/bmaindex.hpp>

Inherits QuantLib::InterestRateIndex.

Public Member Functions


BMAIndex (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())

Index interface


std::string name () const

bool isValidFixingDate (const Date &fixingDate) const
returns TRUE if the fixing date is a valid one

InterestRateIndex interface


Handle< YieldTermStructure > termStructure () const

Date maturityDate (const Date &valueDate) const

Date calculations


Schedule fixingSchedule (const Date &start, const Date &end)

Protected Member Functions


Rate forecastFixing (const Date &fixingDate) const

Protected Attributes


Handle< YieldTermStructure > termStructure_

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.

Member Function Documentation

std::string name () const [virtual]

BMA is fixed weekly on Wednesdays.

Reimplemented from InterestRateIndex.

Schedule fixingSchedule (const Date & start, const Date & end)

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

Author

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