QuantLib_Forward (3) - Linux Manuals

QuantLib_Forward: Abstract base forward class.

Command to display QuantLib_Forward manual in Linux: $ man 3 QuantLib_Forward

NAME

QuantLib::Forward - Abstract base forward class.

SYNOPSIS

#include <ql/instruments/forward.hpp>

Inherits QuantLib::Instrument.

Inherited by FixedRateBondForward, and ForwardRateAgreement.

Public Member Functions

virtual Real spotValue () const =0
returns spot value/price of an underlying financial instrument
virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0
NPV of income/dividends/storage-costs etc. of underlying instrument.

Inspectors

virtual Date settlementDate () const

const Calendar & calendar () const

BusinessDayConvention businessDayConvention () const

const DayCounter & dayCounter () const

Handle< YieldTermStructure > discountCurve () const
term structure relevant to the contract (e.g. repo curve)
Handle< YieldTermStructure > incomeDiscountCurve () const
term structure that discounts the underlying's income cash flows
bool isExpired () const
returns whether the instrument is still tradable.

Calculations

virtual Real forwardValue () const
forward value/price of underlying, discounting income/dividends
InterestRate impliedYield (Real underlyingSpotValue, Real forwardValue, Date settlementDate, Compounding compoundingConvention, DayCounter dayCounter)

Protected Member Functions

Forward (const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, Natural settlementDays, const boost::shared_ptr< Payoff > &payoff, const Date &valueDate, const Date &maturityDate, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >())

void performCalculations () const

Protected Attributes

Real underlyingIncome_

Real underlyingSpotValue_

DayCounter dayCounter_

Calendar calendar_

BusinessDayConvention businessDayConvention_

Natural settlementDays_

boost::shared_ptr< Payoff > payoff_

Date valueDate_

Date maturityDate_
maturityDate of the forward contract or delivery date of underlying
Handle< YieldTermStructure > discountCurve_

Handle< YieldTermStructure > incomeDiscountCurve_

Detailed Description

Abstract base forward class.

Derived classes must implement the virtual functions spotValue() (NPV or spot price) and spotIncome() associated with the specific relevant underlying (e.g. bond, stock, commodity, loan/deposit). These functions must be used to set the protected member variables underlyingSpotValue_ and underlyingIncome_ within performCalculations() in the derived class before the base-class implementation is called.

spotIncome() refers generically to the present value of coupons, dividends or storage costs.

discountCurve_ is the curve used to discount forward contract cash flows back to the evaluation day, as well as to obtain forward values for spot values/prices.

incomeDiscountCurve_, which for generality is not automatically set to the discountCurve_, is the curve used to discount future income/dividends/storage-costs etc back to the evaluation date.

Possible enhancements

: Add preconditions and tests

Warning

: This class still needs to be rigorously tested

Member Function Documentation

virtual Real forwardValue () const [virtual]

forward value/price of underlying, discounting income/dividends

Note:

: if this is a bond forward price, is must be a dirty forward price.

InterestRate impliedYield (Real underlyingSpotValue, Real forwardValue, Date settlementDate, Compounding compoundingConvention, DayCounter dayCounter)

Simple yield calculation based on underlying spot and forward values, taking into account underlying income. When $ t>0 $, call with: underlyingSpotValue=spotValue(t), forwardValue=strikePrice, to get current yield. For a repo, if $ t=0 $, impliedYield should reproduce the spot repo rate. For FRA's, this should reproduce the relevant zero rate at the FRA's maturityDate_;

void performCalculations () const [protected, virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from Instrument.

Reimplemented in FixedRateBondForward.

Member Data Documentation

Real underlyingIncome_ [mutable, protected]

derived classes must set this, typically via spotIncome()

Real underlyingSpotValue_ [mutable, protected]

derived classes must set this, typically via spotValue()

Date valueDate_ [protected]

valueDate = settlement date (date the fwd contract starts accruing)

Handle<YieldTermStructure> incomeDiscountCurve_ [protected]

must set this in derived classes, based on particular underlying

Author

Generated automatically by Doxygen for QuantLib from the source code.