- QuantLib
- BMASwap
 
swap paying Libor against BMA coupons More...
#include <ql/instruments/bmaswap.hpp>

| 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 | 
swap paying Libor against BMA coupons