BMASwap Class Reference
swap paying Libor against BMA coupons More...
#include <ql/instruments/bmaswap.hpp>
Inheritance diagram for BMASwap:

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 |