Forward rate agreement (FRA) class More...
#include <ql/instruments/forwardrateagreement.hpp>
Inheritance diagram for ForwardRateAgreement:Public Member Functions | |
| ForwardRateAgreement (const Date &valueDate, const Date &maturityDate, Position::Type type, Rate strikeForwardRate, Real notionalAmount, const ext::shared_ptr< IborIndex > &index, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), bool useIndexedCoupon=true) | |
Public Member Functions inherited from Forward | |
| 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 | |
| virtual Real | forwardValue () const |
| forward value/price of underlying, discounting income/dividends More... | |
| InterestRate | impliedYield (Real underlyingSpotValue, Real forwardValue, Date settlementDate, Compounding compoundingConvention, const DayCounter &dayCounter) |
Public Member Functions inherited from Instrument | |
| Real | NPV () const |
| returns the net present value of the instrument. | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. | |
| const std::map< std::string, boost::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. | |
| void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
| virtual void | setupArguments (PricingEngine::arguments *) const |
| virtual void | fetchResults (const PricingEngine::results *) const |
Public Member Functions inherited from LazyObject | |
| void | update () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| void | alwaysForwardNotifications () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Calculations | |
| Position::Type | fraType_ |
| InterestRate | forwardRate_ |
| aka FRA rate (the market forward rate) | |
| InterestRate | strikeForwardRate_ |
| aka FRA fixing rate, contract rate | |
| Real | notionalAmount_ |
| ext::shared_ptr< IborIndex > | index_ |
| bool | useIndexedCoupon_ |
| bool | isExpired () const |
| Date | settlementDate () const |
| Date | fixingDate () const |
| Real | spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const |
| Real | spotValue () const |
| Spot value (NPV) of the underlying loan. More... | |
| InterestRate | forwardRate () const |
| Returns the relevant forward rate associated with the FRA term. | |
| void | setupExpired () const |
| void | performCalculations () const |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Member Functions inherited from Forward | |
| Forward (const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, Natural settlementDays, const ext::shared_ptr< Payoff > &payoff, const Date &valueDate, const Date &maturityDate, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) | |
Protected Member Functions inherited from Instrument | |
| void | calculate () const |
Protected Member Functions inherited from LazyObject | |
Protected Attributes inherited from Forward | |
| Real | underlyingIncome_ |
| Real | underlyingSpotValue_ |
| DayCounter | dayCounter_ |
| Calendar | calendar_ |
| BusinessDayConvention | businessDayConvention_ |
| Natural | settlementDays_ |
| ext::shared_ptr< Payoff > | payoff_ |
| Date | valueDate_ |
| Date | maturityDate_ |
| maturityDate of the forward contract or delivery date of underlying | |
| Handle< YieldTermStructure > | discountCurve_ |
| Handle< YieldTermStructure > | incomeDiscountCurve_ |
Protected Attributes inherited from Instrument | |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
| ext::shared_ptr< PricingEngine > | engine_ |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
| bool | alwaysForward_ |
Forward rate agreement (FRA) class
Example: valuation of a forward-rate agreement
|
virtual |
A FRA expires/settles on the valueDate
Reimplemented from Forward.
|
virtual |
This returns evaluationDate + settlementDays (not FRA valueDate).
Reimplemented from Forward.
|
virtual |
Income is zero for a FRA
Implements Forward.
|
virtual |
Spot value (NPV) of the underlying loan.
This has always a positive value (asset), even if short the FRA
Implements Forward.
|
protectedvirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
|
protectedvirtual |
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 Forward.