BMA Swap is a of with functions , keys and example object that represents an interest rate swap, whereby a is exchanged for a fraction of in regular time intervals until the swap's maturity.
Each cash flow of the bma leg is based on a time-weighted arithmetic average of the weekly fixings of the BMA index during each coupon accrual period.
On the ibor leg, the fraction of Ibor Rate may be incremented by a fixed spread before it is used in the calculation of the respective cash flow amount.
The time-weighted arithmetic average is calculated as follows:
The realized value I of the BMA index on each Wednesday during a bma leg accrual period leads to an average rate R defined as F/Δt, where F is the total accrued interest, i.e. the sum over i of I(i)Δ(i) and Δt is the number of calendar days of the respective accrual period.
Here I(i) is the fixing of I at the ith Wednesday and Δ(i) is the the number of calendar days between two successive valuation dates.
Here by valuation date is meant the business day following the Wednesday, at which Wednesday the BMA index is fixed.
It must be emphasized that the weights Δ(i) are not equal to the difference between the successive fixing dates.
QuantLib ensures that the sum of Δ(i) equals Δt.
The resulting rate R is used to calculate the respective cash flow amount C as C = NRΔt, where N is the applicable notional.
The pricing methodology is specified in