Bond Market Association index. More...

#include <ql/indexes/bmaindex.hpp>

Inheritance diagram for BMAIndex:

List of all members.

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
Inspectors
Handle< YieldTermStructureforwardingTermStructure () const
Date calculations
Date maturityDate (const Date &valueDate) const
Schedule fixingSchedule (const Date &start, const Date &end)

Protected Member Functions

Rate forecastFixing (const Date &fixingDate) const

Protected Attributes

Handle< YieldTermStructuretermStructure_

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.