/usr/include/ql/indexes/bmaindex.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
Copyright (C) 2007 Roland Lichters
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file bmaindex.hpp
\brief Bond Market Association index
*/
#ifndef quantlib_bma_index_hpp
#define quantlib_bma_index_hpp
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/indexes/interestrateindex.hpp>
#include <ql/time/schedule.hpp>
namespace QuantLib {
//! Bond Market Association index
/*! The BMA index is the short-term tax-exempt reference index of
the Bond Market Association. It has tenor one week, is fixed
weekly on Wednesdays and is applied with a one-day's fixing
gap from Thursdays on for one week. It is the tax-exempt
correspondent of the 1M USD-Libor.
*/
class BMAIndex : public InterestRateIndex {
public:
BMAIndex(const Handle<YieldTermStructure>& h =
Handle<YieldTermStructure>());
//! \name Index interface
//@{
/*! BMA is fixed weekly on Wednesdays.
*/
std::string name() const { return "BMA"; }
bool isValidFixingDate(const Date& fixingDate) const;
//@}
//! \name Inspectors
//@{
Handle<YieldTermStructure> forwardingTermStructure() const;
//@}
//! \name Date calculations
//@{
Date maturityDate(const Date& valueDate) const;
/*! This method returns a schedule of fixing dates between
start and end.
*/
Schedule fixingSchedule(const Date& start,
const Date& end);
// @}
protected:
Rate forecastFixing(const Date& fixingDate) const;
Handle<YieldTermStructure> termStructure_;
};
}
#endif
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