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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 Cash Flows
Set containing detailed information about the bma leg cash flows that stem from an accruing rate as they are conveyed directly from QuantLib.
Note the inclusion of the weekly fixings of the BMA index are included only if BMA Swap::Full Cash Flow Details = true
It holds an object of type
Set where each row corresponds to a cash flow.
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.
Fair Libor Fraction
Refers to the output of QuantLib's fairLiborFraction function.
Fair Libor Spread
Refers to the output of QuantLib's fairLiborSpread function.
Ibor Cash Flows
Set containing detailed information about the ibor leg cash flows that stem from an accruing rate as they are conveyed directly from QuantLib.
It holds an object of type
Set where each row corresponds to a cash flow.
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.
Price
The output refers to the price of the referenced tradable contract.