Forward Class Reference
[Financial instruments]
Abstract base forward class.
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#include <ql/instruments/forward.hpp>

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
, call with: underlyingSpotValue=spotValue(t), forwardValue=strikePrice, to get current yield. For a repo, if
, 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