| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2007 Roland Lichters |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | /*! \file bmaindex.hpp |
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| 21 | \brief Bond Market Association index |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_bma_index_hpp |
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| 25 | #define quantlib_bma_index_hpp |
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| 26 | |
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| 27 | #include <ql/termstructures/yieldtermstructure.hpp> |
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| 28 | #include <ql/indexes/interestrateindex.hpp> |
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| 29 | #include <ql/time/schedule.hpp> |
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| 30 | |
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| 31 | namespace QuantLib { |
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| 32 | |
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| 33 | //! Bond Market Association index |
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| 34 | /*! The BMA index is the short-term tax-exempt reference index of |
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| 35 | the Bond Market Association. It has tenor one week, is fixed |
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| 36 | weekly on Wednesdays and is applied with a one-day's fixing |
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| 37 | gap from Thursdays on for one week. It is the tax-exempt |
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| 38 | correspondent of the 1M USD-Libor. |
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| 39 | */ |
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| 40 | class BMAIndex : public InterestRateIndex { |
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| 41 | public: |
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| 42 | explicit BMAIndex(const Handle<YieldTermStructure>& h = {}); |
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| 43 | //! \name Index interface |
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| 44 | //@{ |
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| 45 | /*! BMA is fixed weekly on Wednesdays. |
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| 46 | */ |
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| 47 | bool isValidFixingDate(const Date& fixingDate) const override; |
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| 48 | //@} |
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| 49 | //! \name Inspectors |
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| 50 | //@{ |
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| 51 | Handle<YieldTermStructure> forwardingTermStructure() const; |
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| 52 | //@} |
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| 53 | //! \name Date calculations |
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| 54 | //@{ |
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| 55 | Date maturityDate(const Date& valueDate) const override; |
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| 56 | /*! This method returns a schedule of fixing dates between |
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| 57 | start and end. |
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| 58 | */ |
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| 59 | Schedule fixingSchedule(const Date& start, |
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| 60 | const Date& end); |
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| 61 | // @} |
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| 62 | protected: |
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| 63 | Rate forecastFixing(const Date& fixingDate) const override; |
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| 64 | Handle<YieldTermStructure> termStructure_; |
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| 65 | }; |
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| 66 | |
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| 67 | } |
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| 68 | |
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| 69 | #endif |
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| 70 | |
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