FixedBMASwap Class Reference

swap paying a fixed rate against BMA coupons More...

#include <qle/instruments/fixedbmaswap.hpp>

Inheritance diagram for FixedBMASwap:

Classes
class	results
class	engine

Public Types
enum	Type { Receiver = -1 , Payer = 1 }

Public Member Functions
	FixedBMASwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &bmaSchedule, const QuantLib::ext::shared_ptr< BMAIndex > &bmaIndex, const DayCounter &bmaDayCount)
Inspectors
Real	fixedRate () const
Real	nominal () const
Type	type () const
	"payer" or "receiver" refer to the BMA leg
const Leg &	bmaLeg () const
const Leg &	fixedLeg () const

Results
Real	fixedLegBPS () const
Real	fixedLegNPV () const
Rate	fairRate () const
Real	bmaLegBPS () const
Real	bmaLegNPV () const
void	fetchResults (const PricingEngine::results *) const override

Detailed Description

swap paying a fixed rate against BMA coupons