1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: BMASwap Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.9.0</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_b_m_a_swap.html">BMASwap</a></div>
<h1>BMASwap Class Reference</h1><!-- doxytag: class="QuantLib::BMASwap" --><!-- doxytag: inherits="QuantLib::Swap" --><code>#include <ql/instruments/bmaswap.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for BMASwap:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_b_m_a_swap__inherit__graph.png" border="0" usemap="#_b_m_a_swap__inherit__map" alt="Inheritance graph"></center>
<map name="_b_m_a_swap__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_swap.html" title="Interest rate swap." alt="" coords="21,7,77,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_b_m_a_swap-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
swap paying <a class="el" href="class_quant_lib_1_1_libor.html" title="base class for all BBA LIBOR indexes but the EUR ones">Libor</a> against BMA coupons <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">enum </td><td class="memItemRight" valign="bottom"><b>Type</b> { <b>Receiver</b> = -1,
<b>Payer</b> = 1
}</td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6e41b7b5fbe131e7f781084d96fb93e5"></a><!-- doxytag: member="QuantLib::BMASwap::BMASwap" ref="6e41b7b5fbe131e7f781084d96fb93e5" args="(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)" -->
</td><td class="memItemRight" valign="bottom"><b>BMASwap</b> (Type type, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> nominal, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &liborSchedule, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> liborFraction, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> liborSpread, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > &liborIndex, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &liborDayCount, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &bmaSchedule, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_b_m_a_index.html">BMAIndex</a> > &bmaIndex, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &bmaDayCount)</td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="732b3eb6ff32f26801313e147d576dfd"></a><!-- doxytag: member="QuantLib::BMASwap::liborFraction" ref="732b3eb6ff32f26801313e147d576dfd" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>liborFraction</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ea41d9796ef730b280d153450ee61964"></a><!-- doxytag: member="QuantLib::BMASwap::liborSpread" ref="ea41d9796ef730b280d153450ee61964" args="() const " -->
<a class="el" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> </td><td class="memItemRight" valign="bottom"><b>liborSpread</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0c27f57255d093f0a9c42fb53e991e7d"></a><!-- doxytag: member="QuantLib::BMASwap::nominal" ref="0c27f57255d093f0a9c42fb53e991e7d" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nominal</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fbd0fa31db28593e9669c3c56711c0a7"></a><!-- doxytag: member="QuantLib::BMASwap::type" ref="fbd0fa31db28593e9669c3c56711c0a7" args="() const " -->
Type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_b_m_a_swap.html#fbd0fa31db28593e9669c3c56711c0a7">type</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">"payer" or "receiver" refer to the BMA leg <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cfe03e2a4aaefd6669112baf333cc14c"></a><!-- doxytag: member="QuantLib::BMASwap::bmaLeg" ref="cfe03e2a4aaefd6669112baf333cc14c" args="() const " -->
const Leg & </td><td class="memItemRight" valign="bottom"><b>bmaLeg</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5ad7aa63cd6fb992654999bb656882f5"></a><!-- doxytag: member="QuantLib::BMASwap::liborLeg" ref="5ad7aa63cd6fb992654999bb656882f5" args="() const " -->
const Leg & </td><td class="memItemRight" valign="bottom"><b>liborLeg</b> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Results</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0707097937d833306ca609088d4f416f"></a><!-- doxytag: member="QuantLib::BMASwap::liborLegBPS" ref="0707097937d833306ca609088d4f416f" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>liborLegBPS</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3cff4d8e54d979f67f92f98ed4c5db18"></a><!-- doxytag: member="QuantLib::BMASwap::liborLegNPV" ref="3cff4d8e54d979f67f92f98ed4c5db18" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>liborLegNPV</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="147bf5d06b5f2177c6307feb7e1b370c"></a><!-- doxytag: member="QuantLib::BMASwap::fairLiborFraction" ref="147bf5d06b5f2177c6307feb7e1b370c" args="() const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>fairLiborFraction</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="06f94595a0296dc414b7f53316cf35be"></a><!-- doxytag: member="QuantLib::BMASwap::fairLiborSpread" ref="06f94595a0296dc414b7f53316cf35be" args="() const " -->
<a class="el" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> </td><td class="memItemRight" valign="bottom"><b>fairLiborSpread</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="45e18fdf92b40a73aa3e99e9e06f27e9"></a><!-- doxytag: member="QuantLib::BMASwap::bmaLegBPS" ref="45e18fdf92b40a73aa3e99e9e06f27e9" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>bmaLegBPS</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d3113cd2f1fb8b6611e478df44affdf5"></a><!-- doxytag: member="QuantLib::BMASwap::bmaLegNPV" ref="d3113cd2f1fb8b6611e478df44affdf5" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>bmaLegNPV</b> () const </td></tr>
</table>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
