BMA and other indexes

[Grison PG Pierre (External DEXIA-US)]

Hello all,

 

Has someone already worked on BMA indexes or other libor derivated indexes (averages of fixings for instance)?

 

Pierre

 

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[Luigi Ballabio]

Yes. See <ql/indexes/bmaindex.hpp> for the index, <ql/cashflows/averagebmacoupon.hpp> for the coupon, <ql/instruments/bmaswap.hpp> for the instrument. There's also a rate helper in <ql/termstructures/yield/ratehelpers.hpp> you can use for bootstrapping.

Luigi

On Wed, May 6, 2015 at 10:14 PM, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:

Hello all,

 

Has someone already worked on BMA indexes or other libor derivated indexes (averages of fixings for instance)?

 

Pierre

 

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Performance metrics, stats and reports that give you Actionable Insights
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