AverageBMACoupon Class Reference

#include <ql/cashflows/averagebmacoupon.hpp>

Inheritance diagram for AverageBMACoupon:

List of all members.


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< DatefixingDates () const
 fixing dates of the rates to be averaged
Rate indexFixing () const
 not applicable here; use indexFixings() instead
std::vector< RateindexFixings () const
 fixings of the underlying index to be averaged
Rate convexityAdjustment () const
 not applicable here
Visitability
void accept (AcyclicVisitor &)