bmaLegBPS (3) - Linux Manuals
bmaLegBPS: swap paying Libor against BMA coupons
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
Generated automatically by Doxygen for QuantLib from the source code.