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Class BMAIndex

Bond Market Association index

The BMA index is the short-term tax-exempt reference index of the Bond Market Association. It has tenor one week, is fixed weekly on Wednesdays and is applied with a one-day's fixing gap from Thursdays on for one week. It is the tax-exempt correspondent of the 1M USD-Libor.

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Protected _currency

_currency: Currency

Protected _dayCounter

_dayCounter: DayCounter

Protected _familyName

_familyName: string

Protected _fixingDays

_fixingDays: Natural

_isDisposed

_isDisposed: boolean = false

Protected _name

_name: string

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _tenor

_tenor: Period

Protected _termStructure

_termStructure: Handle<YieldTermStructure>

addFixings1

addFixings1: (t: TimeSeries<Real>, forceOverwrite?: boolean) => void

Type declaration

addFixings2

addFixings2: (d: Date[], dBegin: Size, dEnd: Size, v: Real[], vBegin: Size, forceOverwrite?: boolean) => void

Type declaration

    • (d: Date[], dBegin: Size, dEnd: Size, v: Real[], vBegin: Size, forceOverwrite?: boolean): void

    • Parameters

      • d: Date[]
      • dBegin: Size
      • dEnd: Size
      • v: Real[]
      • vBegin: Size
      • Optional forceOverwrite: boolean

      Returns void

checkNativeFixingsAllowed

checkNativeFixingsAllowed: () => void

Type declaration

    • (): void

    • Returns void

clearFixings

clearFixings: () => void

Type declaration

    • (): void

    • Returns void

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

timeSeries

timeSeries: () => TimeSeries<Real>

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

addFixing

  • addFixing(fixingDate: Date, fixing: Real, forceOverwrite?: boolean): void

  • Parameters

    • fixingDate: Date
    • fixing: Real
    • Optional forceOverwrite: boolean

    Returns void

allowsNativeFixings

  • allowsNativeFixings(): boolean

currency

dayCounter

familyName

  • familyName(): string

fixing

  • fixing(fixingDate: Date, forecastTodaysFixing?: boolean): Rate

fixingCalendar

fixingDate

  • fixingDate(valueDate: Date): Date

fixingDays

fixingSchedule

  • fixingSchedule(start: Date, end: Date): Schedule

  • Parameters

    • start: Date
    • end: Date

    Returns Schedule

forecastFixing1

  • forecastFixing1(fixingDate: Date): Rate

forwardingTermStructure

init

isValidFixingDate

  • isValidFixingDate(date: Date): boolean

maturityDate

  • maturityDate(valueDate: Date): Date

name

  • name(): string

pastFixing

  • pastFixing(fixingDate: Date): Rate

tenor

update

  • update(): void

valueDate

  • valueDate(fixingDate: Date): Date

  • name Date calculations

    These method can be overridden to implement particular conventions (e.g. EurLibor)

    Parameters

    • fixingDate: Date

    Returns Date