NAME

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

Detailed Description

swap paying Libor against BMA coupons

Author

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