Abstract base forward class. More...

#include <ql/instruments/forward.hpp>

Inheritance diagram for Forward:

Public Member Functions
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.

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.

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
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_

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)

	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 >())

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 Instrument
void	calculate () const

virtual void	setupExpired () const

Protected Member Functions inherited from LazyObject
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_

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.

Warning:: This class still needs to be rigorously tested

Member Function Documentation

◆ forwardValue()

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.

◆ impliedYield()

InterestRate impliedYield	(	Real	underlyingSpotValue,
		Real	forwardValue,
		Date	settlementDate,
		Compounding	compoundingConvention,
		const 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_;

◆ performCalculations()

void performCalculations ( ) const

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 Instrument.

Reimplemented in ForwardRateAgreement.

Member Data Documentation

◆ underlyingIncome_

Real underlyingIncome_

mutableprotected

derived classes must set this, typically via spotIncome()

◆ underlyingSpotValue_

Real underlyingSpotValue_

mutableprotected

derived classes must set this, typically via spotValue()

◆ valueDate_

Date valueDate_

protected

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

◆ incomeDiscountCurve_

Handle<YieldTermStructure> incomeDiscountCurve_