AverageBMACoupon Class Reference

Average BMA coupon. More...

#include <ql/cashflows/averagebmacoupon.hpp>

Inheritance diagram for AverageBMACoupon:

Public Member Functions
	AverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::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 override
	not applicable here; use fixingDates() instead
std::vector< Date >	fixingDates () const
	fixing dates of the rates to be averaged
Rate	indexFixing () const override
	not applicable here; use indexFixings() instead
std::vector< Rate >	indexFixings () const
	fixings of the underlying index to be averaged
Rate	convexityAdjustment () const override
	not applicable here
Public Member Functions inherited from FloatingRateCoupon
	FloatingRateCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< InterestRateIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), DayCounter dayCounter=DayCounter(), bool isInArrears=false, const Date &exCouponDate=Date())
void	performCalculations () const override
Real	amount () const override
	returns the amount of the cash flow
Rate	rate () const override
	accrued rate
Real	price (const Handle< YieldTermStructure > &discountingCurve) const
DayCounter	dayCounter () const override
	day counter for accrual calculation
Real	accruedAmount (const Date &) const override
	accrued amount at the given date
const ext::shared_ptr< InterestRateIndex > &	index () const
	floating index
Natural	fixingDays () const
	fixing days
Real	gearing () const
	index gearing, i.e. multiplicative coefficient for the index
Spread	spread () const
	spread paid over the fixing of the underlying index
virtual Rate	adjustedFixing () const
	convexity-adjusted fixing
bool	isInArrears () const
	whether or not the coupon fixes in arrears
void	accept (AcyclicVisitor &) override
virtual void	setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &)
ext::shared_ptr< FloatingRateCouponPricer >	pricer () const
Public Member Functions inherited from Coupon
	Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
Date	date () const override
Date	exCouponDate () const override
	returns the date that the cash flow trades exCoupon
virtual Real	nominal () const
const Date &	accrualStartDate () const
	start of the accrual period
const Date &	accrualEndDate () const
	end of the accrual period
const Date &	referencePeriodStart () const
	start date of the reference period
const Date &	referencePeriodEnd () const
	end date of the reference period
Time	accrualPeriod () const
	accrual period as fraction of year
Date::serial_type	accrualDays () const
	accrual period in days
Time	accruedPeriod (const Date &) const
	accrued period as fraction of year at the given date
Date::serial_type	accruedDays (const Date &) const
	accrued days at the given date
Public Member Functions inherited from CashFlow
bool	hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const override
	returns true if an event has already occurred before a date
bool	tradingExCoupon (const Date &refDate=Date()) const
	returns true if the cashflow is trading ex-coupon on the refDate
Public Member Functions inherited from Event
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Visitability
void	accept (AcyclicVisitor &) override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Rate	convexityAdjustmentImpl (Rate fixing) const
	convexity adjustment for the given index fixing
virtual void	calculate () const
ext::shared_ptr< InterestRateIndex >	index_
DayCounter	dayCounter_
Natural	fixingDays_
Real	gearing_
Spread	spread_
bool	isInArrears_
ext::shared_ptr< FloatingRateCouponPricer >	pricer_
Real	rate_
Date	paymentDate_
Real	nominal_
Date	accrualStartDate_
Date	accrualEndDate_
Date	refPeriodStart_
Date	refPeriodEnd_
Date	exCouponDate_
Real	accrualPeriod_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

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.

Member Function Documentation

fixingDate()

Date fixingDate ( ) const

overridevirtual

not applicable here; use fixingDates() instead

Reimplemented from FloatingRateCoupon.

indexFixing()

Rate indexFixing ( ) const

overridevirtual

not applicable here; use indexFixings() instead

Reimplemented from FloatingRateCoupon.

convexityAdjustment()

Rate convexityAdjustment ( ) const

overridevirtual

not applicable here

Reimplemented from FloatingRateCoupon.

accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from Event.