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Model[BMA_Swap]"Model[BMA Swap]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type BMA Swap.
Note the present value of a BMA Swap is independent of the stochastic evolution of the interest rates.
It only depends on forward BMA rates and discount factors observed today.
In general, the riskless Yield Curve found in the supplied market data is used for both calculating the required forward BMA and ibor rates as well as discounting the resulting cash flows.
Nevertheless the user has the option to specify here two separate Issuer objects that identify the yield curves to be used exclusively for calculating the forward BMA and ibor rates associated with the BMA and ibor leg respectively.
The following quantities may be also calculated and reported along the price.
BMA Leg BPS
Refers to the output of QuantLib's bmaLegBPS function.
BMA Leg NPV
Refers to the output of QuantLib's bmaLegNPV function.
Returns the Net Present Value of the swap's bma leg.
All cash flows displayed in chronological order as a table with a maximum of 18 columns.
The column titles indicate the meaning of the respective data.
The column titled #Notional shows the notional that is relevant for determining the respective cash flow, which is the notional at the beginning of the accrual period.
In the special case of fx reset, this will be the converted domestic notional that arises after the fixed foreign notional is multiplied with the spot fx rate observed at the beginning of the accrual period.
The column titled #AdjIndex shows the adjusted index fixing, which equals the sum of the forecasted (forward) index plus a potential convexity adjustment that arises if the index is either non-ibor or sets in arrears.
The column titled #Rate shows the final rate that leads to the accrued amount after it is multiplied with the accrual period.
The column titled #Leg contains the index of the leg that contains the respective cash flow, where 1 stands for the first leg.
The column titled #InLegCF contains the index of the respective cash flow within the containing leg, where 1 stands for the first cash flow in that leg.
Fair Libor Fraction
Refers to the output of QuantLib's fairLiborFraction function.
Fair Libor Spread
Refers to the output of QuantLib's fairLiborSpread function.
Libor Leg BPS
Refers to the output of QuantLib's liborLegBPS function.
Libor Leg NPV
Refers to the output of QuantLib's liborLegNPV function.
Returns the Net Present Value of the swap's ibor leg.
The output is a number that represents the price of the referenced tradable.