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#include <qle/instruments/fixedbmaswap.hpp>
Classes | |
class | engine |
class | results |
Public Types | |
enum | Type { Receiver = -1 , Payer = 1 } |
Public Member Functions | |
FixedBMASwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &bmaSchedule, const boost::shared_ptr< BMAIndex > &bmaIndex, const DayCounter &bmaDayCount) | |
Inspectors | |
Real | fixedRate () const |
Real | nominal () const |
Type | type () const |
"payer" or "receiver" refer to the BMA leg | |
const Leg & | bmaLeg () const |
const Leg & | fixedLeg () const |
Results | |
Real | fixedLegBPS () const |
Real | fixedLegNPV () const |
Rate | fairRate () const |
Real | bmaLegBPS () const |
Real | bmaLegNPV () const |
void | fetchResults (const PricingEngine::results *) const override |
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