AverageBMACoupon Class Reference
#include <ql/cashflows/averagebmacoupon.hpp>
Inheritance diagram for AverageBMACoupon:

Detailed Description
Average BMA coupon.Coupon paying a BMA index, where the coupon rate is a weighted average of relevant fixings.
The weighted average is computed based on the actual calendar days for which a given fixing is valid and contributing to the given interest period.
Before weights are computed, the fixing schedule is adjusted for the index's fixing day gap. See rate() method for details.
Public Member Functions | |
AverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) | |
FloatingRateCoupon interface | |
Date | fixingDate () const |
not applicable here; use fixingDates() instead | |
std::vector< Date > | fixingDates () const |
fixing dates of the rates to be averaged | |
Rate | indexFixing () const |
not applicable here; use indexFixings() instead | |
std::vector< Rate > | indexFixings () const |
fixings of the underlying index to be averaged | |
Rate | convexityAdjustment () const |
not applicable here | |
Visitability | |
void | accept (AcyclicVisitor &) |