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<h1>FRA.cpp</h1>This example evaluates a forward-rate agreement.<p>
<div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 <span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span>
<a name="l00002"></a>00002
<a name="l00020"></a>00020 <span class="comment">/* This example shows how to set up a term structure and price a simple</span>
<a name="l00021"></a>00021 <span class="comment"> forward-rate agreement.</span>
<a name="l00022"></a>00022 <span class="comment">*/</span>
<a name="l00023"></a>00023
<a name="l00024"></a>00024 <span class="comment">// the only header you need to use QuantLib</span>
<a name="l00025"></a>00025 <span class="preprocessor">#define BOOST_LIB_DIAGNOSTIC</span>
<a name="l00026"></a>00026 <span class="preprocessor"></span><span class="preprocessor"># include <ql/quantlib.hpp></span>
<a name="l00027"></a>00027 <span class="preprocessor">#undef BOOST_LIB_DIAGNOSTIC</span>
<a name="l00028"></a>00028 <span class="preprocessor"></span>
<a name="l00029"></a>00029 <span class="preprocessor">#ifdef BOOST_MSVC</span>
<a name="l00030"></a>00030 <span class="preprocessor"></span><span class="comment">/* Uncomment the following lines to unmask floating-point</span>
<a name="l00031"></a>00031 <span class="comment"> exceptions. Warning: unpredictable results can arise...</span>
<a name="l00032"></a>00032 <span class="comment"></span>
<a name="l00033"></a>00033 <span class="comment"> See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481</span>
<a name="l00034"></a>00034 <span class="comment"> Is there anyone with a definitive word about this?</span>
<a name="l00035"></a>00035 <span class="comment">*/</span>
<a name="l00036"></a>00036 <span class="comment">// #include <float.h></span>
<a name="l00037"></a>00037 <span class="comment">// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }</span>
<a name="l00038"></a>00038 <span class="preprocessor">#endif</span>
<a name="l00039"></a>00039 <span class="preprocessor"></span>
<a name="l00040"></a>00040 <span class="preprocessor">#include <boost/timer.hpp></span>
<a name="l00041"></a>00041 <span class="preprocessor">#include <iostream></span>
<a name="l00042"></a>00042
<a name="l00043"></a>00043 <span class="preprocessor">#define LENGTH(a) (sizeof(a)/sizeof(a[0]))</span>
<a name="l00044"></a>00044 <span class="preprocessor"></span>
<a name="l00045"></a>00045 <span class="keyword">using namespace </span>std;
<a name="l00046"></a>00046 <span class="keyword">using namespace </span>QuantLib;
<a name="l00047"></a>00047
<a name="l00048"></a>00048 <span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span>
<a name="l00049"></a>00049 <span class="preprocessor"></span><span class="keyword">namespace </span>QuantLib {
<a name="l00050"></a>00050
<a name="l00051"></a>00051 <a name="a0"></a><a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> sessionId() { <span class="keywordflow">return</span> 0; }
<a name="l00052"></a>00052
<a name="l00053"></a>00053 }
<a name="l00054"></a>00054 <span class="preprocessor">#endif</span>
<a name="l00055"></a>00055 <span class="preprocessor"></span>
<a name="l00056"></a>00056 <span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {
<a name="l00057"></a>00057
<a name="l00058"></a>00058 <span class="keywordflow">try</span> {
<a name="l00059"></a>00059 <a name="a1"></a><a class="code" href="group__misc_macros.html#g11d8e34f54505b0bf6f550508278673d">QL_IO_INIT</a>
<a name="l00060"></a>00060
<a name="l00061"></a>00061 boost::timer timer;
<a name="l00062"></a>00062 std::cout << std::endl;
<a name="l00063"></a>00063
<a name="l00064"></a>00064 <span class="comment">/*********************</span>
<a name="l00065"></a>00065 <span class="comment"> *** MARKET DATA ***</span>
<a name="l00066"></a>00066 <span class="comment"> *********************/</span>
<a name="l00067"></a>00067
<a name="l00068"></a>00068 <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> euriborTermStructure;
<a name="l00069"></a>00069 boost::shared_ptr<Xibor> euribor3m(
<a name="l00070"></a>00070 <span class="keyword">new</span> <a name="_a3"></a><a class="code" href="class_quant_lib_1_1_euribor3_m.html">Euribor3M</a>(euriborTermStructure));
<a name="l00071"></a>00071
<a name="l00072"></a>00072 <a name="_a4"></a><a class="code" href="class_quant_lib_1_1_date.html">Date</a> todaysDate = <a class="code" href="class_quant_lib_1_1_date.html">Date</a>(23, May, 2006);
<a name="l00073"></a>00073 Settings::instance().evaluationDate() = todaysDate;
<a name="l00074"></a>00074
<a name="l00075"></a>00075 <a name="_a5"></a><a class="code" href="class_quant_lib_1_1_calendar.html">Calendar</a> calendar = euribor3m->calendar();
<a name="l00076"></a>00076 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> fixingDays = euribor3m->settlementDays();
<a name="l00077"></a>00077 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> settlementDate = calendar.<a name="a6"></a><a class="code" href="class_quant_lib_1_1_calendar.html#b3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(todaysDate, fixingDays, Days);
<a name="l00078"></a>00078
<a name="l00079"></a>00079 std::cout << <span class="stringliteral">"Today: "</span> << todaysDate.<a name="a7"></a><a class="code" href="class_quant_lib_1_1_date.html#8beb14a6b168772900b48e3161b4c0e6">weekday</a>()
<a name="l00080"></a>00080 << <span class="stringliteral">", "</span> << todaysDate << std::endl;
<a name="l00081"></a>00081
<a name="l00082"></a>00082 std::cout << <span class="stringliteral">"Settlement date: "</span> << settlementDate.<a class="code" href="class_quant_lib_1_1_date.html#8beb14a6b168772900b48e3161b4c0e6">weekday</a>()
<a name="l00083"></a>00083 << <span class="stringliteral">", "</span> << settlementDate << std::endl;
<a name="l00084"></a>00084
<a name="l00085"></a>00085
<a name="l00086"></a>00086 <span class="comment">// 3 month term FRA quotes (index refers to monthsToStart)</span>
<a name="l00087"></a>00087 <a name="a8"></a><a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> threeMonthFraQuote[10];
<a name="l00088"></a>00088
<a name="l00089"></a>00089 threeMonthFraQuote[1]=0.030;
<a name="l00090"></a>00090 threeMonthFraQuote[2]=0.031;
<a name="l00091"></a>00091 threeMonthFraQuote[3]=0.032;
<a name="l00092"></a>00092 threeMonthFraQuote[6]=0.033;
<a name="l00093"></a>00093 threeMonthFraQuote[9]=0.034;
<a name="l00094"></a>00094
<a name="l00095"></a>00095 <span class="comment">/********************</span>
<a name="l00096"></a>00096 <span class="comment"> *** QUOTES ***</span>
<a name="l00097"></a>00097 <span class="comment"> ********************/</span>
<a name="l00098"></a>00098
<a name="l00099"></a>00099 <span class="comment">// SimpleQuote stores a value which can be manually changed;</span>
<a name="l00100"></a>00100 <span class="comment">// other Quote subclasses could read the value from a database</span>
<a name="l00101"></a>00101 <span class="comment">// or some kind of data feed.</span>
<a name="l00102"></a>00102
<a name="l00103"></a>00103
<a name="l00104"></a>00104 <span class="comment">// FRAs</span>
<a name="l00105"></a>00105 boost::shared_ptr<SimpleQuote> fra1x4Rate(
<a name="l00106"></a>00106 <span class="keyword">new</span> <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(threeMonthFraQuote[1]));
<a name="l00107"></a>00107 boost::shared_ptr<SimpleQuote> fra2x5Rate(
<a name="l00108"></a>00108 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(threeMonthFraQuote[2]));
<a name="l00109"></a>00109 boost::shared_ptr<SimpleQuote> fra3x6Rate(
<a name="l00110"></a>00110 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(threeMonthFraQuote[3]));
<a name="l00111"></a>00111 boost::shared_ptr<SimpleQuote> fra6x9Rate(
<a name="l00112"></a>00112 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(threeMonthFraQuote[6]));
<a name="l00113"></a>00113 boost::shared_ptr<SimpleQuote> fra9x12Rate(
<a name="l00114"></a>00114 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(threeMonthFraQuote[9]));
<a name="l00115"></a>00115
<a name="l00116"></a>00116 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a> h1x4; h1x4.<a name="a10"></a><a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fra1x4Rate);
<a name="l00117"></a>00117 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a> h2x5; h2x5.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fra2x5Rate);
<a name="l00118"></a>00118 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a> h3x6; h3x6.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fra3x6Rate);
<a name="l00119"></a>00119 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a> h6x9; h6x9.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fra6x9Rate);
<a name="l00120"></a>00120 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a> h9x12; h9x12.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fra9x12Rate);
<a name="l00121"></a>00121
<a name="l00122"></a>00122 <span class="comment">/*********************</span>
<a name="l00123"></a>00123 <span class="comment"> *** RATE HELPERS ***</span>
<a name="l00124"></a>00124 <span class="comment"> *********************/</span>
<a name="l00125"></a>00125
<a name="l00126"></a>00126 <span class="comment">// RateHelpers are built from the above quotes together with</span>
<a name="l00127"></a>00127 <span class="comment">// other instrument dependant infos. Quotes are passed in</span>
<a name="l00128"></a>00128 <span class="comment">// relinkable handles which could be relinked to some other</span>
<a name="l00129"></a>00129 <span class="comment">// data source later.</span>
<a name="l00130"></a>00130
<a name="l00131"></a>00131 <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> fraDayCounter = euribor3m->dayCounter();
<a name="l00132"></a>00132 <a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> convention = euribor3m->businessDayConvention();
<a name="l00133"></a>00133
<a name="l00134"></a>00134 boost::shared_ptr<RateHelper> fra1x4(
<a name="l00135"></a>00135 <span class="keyword">new</span> <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_fra_rate_helper.html">FraRateHelper</a>(h1x4, 1, 4,
<a name="l00136"></a>00136 fixingDays, calendar, convention,
<a name="l00137"></a>00137 fraDayCounter));
<a name="l00138"></a>00138
<a name="l00139"></a>00139 boost::shared_ptr<RateHelper> fra2x5(
<a name="l00140"></a>00140 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html">FraRateHelper</a>(h2x5, 2, 5,
<a name="l00141"></a>00141 fixingDays, calendar, convention,
<a name="l00142"></a>00142 fraDayCounter));
<a name="l00143"></a>00143
<a name="l00144"></a>00144 boost::shared_ptr<RateHelper> fra3x6(
<a name="l00145"></a>00145 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html">FraRateHelper</a>(h3x6, 3, 6,
<a name="l00146"></a>00146 fixingDays, calendar, convention,
<a name="l00147"></a>00147 fraDayCounter));
<a name="l00148"></a>00148
<a name="l00149"></a>00149 boost::shared_ptr<RateHelper> fra6x9(
<a name="l00150"></a>00150 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html">FraRateHelper</a>(h6x9, 6, 9,
<a name="l00151"></a>00151 fixingDays, calendar, convention,
<a name="l00152"></a>00152 fraDayCounter));
<a name="l00153"></a>00153
<a name="l00154"></a>00154 boost::shared_ptr<RateHelper> fra9x12(
<a name="l00155"></a>00155 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_fra_rate_helper.html">FraRateHelper</a>(h9x12, 9, 12,
<a name="l00156"></a>00156 fixingDays, calendar, convention,
<a name="l00157"></a>00157 fraDayCounter));
<a name="l00158"></a>00158
<a name="l00159"></a>00159
<a name="l00160"></a>00160 <span class="comment">/*********************</span>
<a name="l00161"></a>00161 <span class="comment"> ** CURVE BUILDING **</span>
<a name="l00162"></a>00162 <span class="comment"> *********************/</span>
<a name="l00163"></a>00163
<a name="l00164"></a>00164 <span class="comment">// Any DayCounter would be fine.</span>
<a name="l00165"></a>00165 <span class="comment">// ActualActual::ISDA ensures that 30 years is 30.0</span>
<a name="l00166"></a>00166 <a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> termStructureDayCounter =
<a name="l00167"></a>00167 <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_actual_actual.html">ActualActual</a>(ActualActual::ISDA);
<a name="l00168"></a>00168
<a name="l00169"></a>00169 <span class="keywordtype">double</span> tolerance = 1.0e-15;
<a name="l00170"></a>00170
<a name="l00171"></a>00171 <span class="comment">// A FRA curve</span>
<a name="l00172"></a>00172 std::vector<boost::shared_ptr<RateHelper> > fraInstruments;
<a name="l00173"></a>00173
<a name="l00174"></a>00174 fraInstruments.push_back(fra1x4);
<a name="l00175"></a>00175 fraInstruments.push_back(fra2x5);
<a name="l00176"></a>00176 fraInstruments.push_back(fra3x6);
<a name="l00177"></a>00177 fraInstruments.push_back(fra6x9);
<a name="l00178"></a>00178 fraInstruments.push_back(fra9x12);
<a name="l00179"></a>00179
<a name="l00180"></a>00180 boost::shared_ptr<YieldTermStructure> fraTermStructure(<span class="keyword">new</span>
<a name="l00181"></a>00181 <a name="a14"></a><a class="code" href="group__yieldtermstructures.html#g28315d9869896575fe9dde6a150f7c3b">PiecewiseFlatForward</a>(settlementDate, fraInstruments,
<a name="l00182"></a>00182 termStructureDayCounter, tolerance));
<a name="l00183"></a>00183
<a name="l00184"></a>00184
<a name="l00185"></a>00185 <span class="comment">// Term structures used for pricing/discounting</span>
<a name="l00186"></a>00186
<a name="l00187"></a>00187 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> discountingTermStructure;
<a name="l00188"></a>00188 discountingTermStructure.<a name="a15"></a><a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fraTermStructure);
<a name="l00189"></a>00189
<a name="l00190"></a>00190
<a name="l00191"></a>00191 <span class="comment">/***********************</span>
<a name="l00192"></a>00192 <span class="comment"> *** construct FRA's ***</span>
<a name="l00193"></a>00193 <span class="comment"> ***********************/</span>
<a name="l00194"></a>00194
<a name="l00195"></a>00195 <a class="code" href="class_quant_lib_1_1_calendar.html">Calendar</a> fraCalendar = euribor3m->calendar();
<a name="l00196"></a>00196 <a class="code" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> fraBusinessDayConvention =
<a name="l00197"></a>00197 euribor3m->businessDayConvention();
<a name="l00198"></a>00198 Position::Type fraFwdType = Position::Long;
<a name="l00199"></a>00199 <a name="a16"></a><a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> fraNotional = 100.0;
<a name="l00200"></a>00200 <span class="keyword">const</span> <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> FraTermMonths = 3;
<a name="l00201"></a>00201 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> monthsToStart[] = { 1, 2, 3, 6, 9 };
<a name="l00202"></a>00202
<a name="l00203"></a>00203 euriborTermStructure.<a class="code" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">linkTo</a>(fraTermStructure);
<a name="l00204"></a>00204
<a name="l00205"></a>00205 cout << endl;
<a name="l00206"></a>00206 cout << <span class="stringliteral">"Test FRA construction, NPV calculation, and FRA purchase"</span>
<a name="l00207"></a>00207 << endl
<a name="l00208"></a>00208 << endl;
<a name="l00209"></a>00209
<a name="l00210"></a>00210 <a name="a17"></a><a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i;
<a name="l00211"></a>00211 <span class="keywordflow">for</span> (i=0; i<LENGTH(monthsToStart); i++) {
<a name="l00212"></a>00212
<a name="l00213"></a>00213 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> fraValueDate = fraCalendar.<a class="code" href="class_quant_lib_1_1_calendar.html#b3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(
<a name="l00214"></a>00214 settlementDate,monthsToStart[i],Months,
<a name="l00215"></a>00215 fraBusinessDayConvention);
<a name="l00216"></a>00216
<a name="l00217"></a>00217 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> fraMaturityDate = fraCalendar.<a class="code" href="class_quant_lib_1_1_calendar.html#b3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(
<a name="l00218"></a>00218 fraValueDate,FraTermMonths,Months,
<a name="l00219"></a>00219 fraBusinessDayConvention);
<a name="l00220"></a>00220
<a name="l00221"></a>00221 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> fraStrikeRate = threeMonthFraQuote[monthsToStart[i]];
<a name="l00222"></a>00222
<a name="l00223"></a>00223 <a name="_a18"></a><a class="code" href="class_quant_lib_1_1_forward_rate_agreement.html">ForwardRateAgreement</a> myFRA(fraValueDate, fraMaturityDate,
<a name="l00224"></a>00224 fraFwdType,fraStrikeRate,
<a name="l00225"></a>00225 fraNotional, euribor3m,
<a name="l00226"></a>00226 discountingTermStructure);
<a name="l00227"></a>00227
<a name="l00228"></a>00228 cout << <span class="stringliteral">"3m Term FRA, Months to Start: "</span>
<a name="l00229"></a>00229 << monthsToStart[i]
<a name="l00230"></a>00230 << endl;
<a name="l00231"></a>00231 cout << <span class="stringliteral">"strike FRA rate: "</span>
<a name="l00232"></a>00232 << <a name="a19"></a><a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fraStrikeRate)
<a name="l00233"></a>00233 << endl;
<a name="l00234"></a>00234 cout << <span class="stringliteral">"FRA 3m forward rate: "</span>
<a name="l00235"></a>00235 << myFRA.forwardRate()
<a name="l00236"></a>00236 << endl;
<a name="l00237"></a>00237 cout << <span class="stringliteral">"FRA market quote: "</span>
<a name="l00238"></a>00238 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(threeMonthFraQuote[monthsToStart[i]])
<a name="l00239"></a>00239 << endl;
<a name="l00240"></a>00240 cout << <span class="stringliteral">"FRA spot value: "</span>
<a name="l00241"></a>00241 << myFRA.spotValue()
<a name="l00242"></a>00242 << endl;
<a name="l00243"></a>00243 cout << <span class="stringliteral">"FRA forward value: "</span>
<a name="l00244"></a>00244 << myFRA.forwardValue()
<a name="l00245"></a>00245 << endl;
<a name="l00246"></a>00246 cout << <span class="stringliteral">"FRA implied Yield: "</span>
<a name="l00247"></a>00247 << myFRA.impliedYield(myFRA.spotValue(),
<a name="l00248"></a>00248 myFRA.forwardValue(),
<a name="l00249"></a>00249 settlementDate,
<a name="l00250"></a>00250 Simple,
<a name="l00251"></a>00251 fraDayCounter)
<a name="l00252"></a>00252 << endl;
<a name="l00253"></a>00253 cout << <span class="stringliteral">"market Zero Rate: "</span>
<a name="l00254"></a>00254 << discountingTermStructure->zeroRate(fraMaturityDate,
<a name="l00255"></a>00255 fraDayCounter,
<a name="l00256"></a>00256 Simple)
<a name="l00257"></a>00257 << endl;
<a name="l00258"></a>00258 cout << <span class="stringliteral">"FRA NPV [should be zero]: "</span>
<a name="l00259"></a>00259 << myFRA.NPV()
<a name="l00260"></a>00260 << endl
<a name="l00261"></a>00261 << endl;
<a name="l00262"></a>00262
<a name="l00263"></a>00263 }
<a name="l00264"></a>00264
<a name="l00265"></a>00265
<a name="l00266"></a>00266
<a name="l00267"></a>00267
<a name="l00268"></a>00268 cout << endl << endl;
<a name="l00269"></a>00269 cout << <span class="stringliteral">"Now take a 100 basis-point upward shift in FRA quotes "</span>
<a name="l00270"></a>00270 << <span class="stringliteral">"and examine NPV"</span>
<a name="l00271"></a>00271 << endl
<a name="l00272"></a>00272 << endl;
<a name="l00273"></a>00273
<a name="l00274"></a>00274 <span class="keyword">const</span> <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> BpsShift = 0.01;
<a name="l00275"></a>00275
<a name="l00276"></a>00276 threeMonthFraQuote[1]=0.030+BpsShift;
<a name="l00277"></a>00277 threeMonthFraQuote[2]=0.031+BpsShift;
<a name="l00278"></a>00278 threeMonthFraQuote[3]=0.032+BpsShift;
<a name="l00279"></a>00279 threeMonthFraQuote[6]=0.033+BpsShift;
<a name="l00280"></a>00280 threeMonthFraQuote[9]=0.034+BpsShift;
<a name="l00281"></a>00281
<a name="l00282"></a>00282 fra1x4Rate->setValue(threeMonthFraQuote[1]);
<a name="l00283"></a>00283 fra2x5Rate->setValue(threeMonthFraQuote[2]);
<a name="l00284"></a>00284 fra3x6Rate->setValue(threeMonthFraQuote[3]);
<a name="l00285"></a>00285 fra6x9Rate->setValue(threeMonthFraQuote[6]);
<a name="l00286"></a>00286 fra9x12Rate->setValue(threeMonthFraQuote[9]);
<a name="l00287"></a>00287
<a name="l00288"></a>00288
<a name="l00289"></a>00289 <span class="keywordflow">for</span> (i=0; i<LENGTH(monthsToStart); i++) {
<a name="l00290"></a>00290
<a name="l00291"></a>00291 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> fraValueDate = fraCalendar.<a class="code" href="class_quant_lib_1_1_calendar.html#b3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(
<a name="l00292"></a>00292 settlementDate,monthsToStart[i],Months,
<a name="l00293"></a>00293 fraBusinessDayConvention);
<a name="l00294"></a>00294
<a name="l00295"></a>00295 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> fraMaturityDate = fraCalendar.<a class="code" href="class_quant_lib_1_1_calendar.html#b3fc4d2c4ba5243c3f5d51dcb3077ceb">advance</a>(
<a name="l00296"></a>00296 fraValueDate,FraTermMonths,Months,
<a name="l00297"></a>00297 fraBusinessDayConvention);
<a name="l00298"></a>00298
<a name="l00299"></a>00299 <a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> fraStrikeRate =
<a name="l00300"></a>00300 threeMonthFraQuote[monthsToStart[i]] - BpsShift;
<a name="l00301"></a>00301
<a name="l00302"></a>00302 <a class="code" href="class_quant_lib_1_1_forward_rate_agreement.html">ForwardRateAgreement</a> myFRA(fraValueDate, fraMaturityDate,
<a name="l00303"></a>00303 fraFwdType, fraStrikeRate,
<a name="l00304"></a>00304 fraNotional, euribor3m,
<a name="l00305"></a>00305 discountingTermStructure);
<a name="l00306"></a>00306
<a name="l00307"></a>00307 cout << <span class="stringliteral">"3m Term FRA, 100 notional, Months to Start = "</span>
<a name="l00308"></a>00308 << monthsToStart[i]
<a name="l00309"></a>00309 << endl;
<a name="l00310"></a>00310 cout << <span class="stringliteral">"strike FRA rate: "</span>
<a name="l00311"></a>00311 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(fraStrikeRate)
<a name="l00312"></a>00312 << endl;
<a name="l00313"></a>00313 cout << <span class="stringliteral">"FRA 3m forward rate: "</span>
<a name="l00314"></a>00314 << myFRA.forwardRate()
<a name="l00315"></a>00315 << endl;
<a name="l00316"></a>00316 cout << <span class="stringliteral">"FRA market quote: "</span>
<a name="l00317"></a>00317 << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(threeMonthFraQuote[monthsToStart[i]])
<a name="l00318"></a>00318 << endl;
<a name="l00319"></a>00319 cout << <span class="stringliteral">"FRA spot value: "</span>
<a name="l00320"></a>00320 << myFRA.spotValue()
<a name="l00321"></a>00321 << endl;
<a name="l00322"></a>00322 cout << <span class="stringliteral">"FRA forward value: "</span>
<a name="l00323"></a>00323 << myFRA.forwardValue()
<a name="l00324"></a>00324 << endl;
<a name="l00325"></a>00325 cout << <span class="stringliteral">"FRA implied Yield: "</span>
<a name="l00326"></a>00326 << myFRA.impliedYield(myFRA.spotValue(),
<a name="l00327"></a>00327 myFRA.forwardValue(),
<a name="l00328"></a>00328 settlementDate,
<a name="l00329"></a>00329 Simple,
<a name="l00330"></a>00330 fraDayCounter)
<a name="l00331"></a>00331 << endl;
<a name="l00332"></a>00332 cout << <span class="stringliteral">"market Zero Rate: "</span>
<a name="l00333"></a>00333 << discountingTermStructure->zeroRate(fraMaturityDate,
<a name="l00334"></a>00334 fraDayCounter,
<a name="l00335"></a>00335 Simple)
<a name="l00336"></a>00336 << endl;
<a name="l00337"></a>00337 cout << <span class="stringliteral">"FRA NPV [should be positive]: "</span>
<a name="l00338"></a>00338 << myFRA.NPV()
<a name="l00339"></a>00339 << endl
<a name="l00340"></a>00340 << endl;
<a name="l00341"></a>00341 }
<a name="l00342"></a>00342
<a name="l00343"></a>00343 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> seconds = timer.elapsed();
<a name="l00344"></a>00344 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> hours = int(seconds/3600);
<a name="l00345"></a>00345 seconds -= hours * 3600;
<a name="l00346"></a>00346 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> minutes = int(seconds/60);
<a name="l00347"></a>00347 seconds -= minutes * 60;
<a name="l00348"></a>00348 cout << <span class="stringliteral">" \nRun completed in "</span>;
<a name="l00349"></a>00349 <span class="keywordflow">if</span> (hours > 0)
<a name="l00350"></a>00350 cout << hours << <span class="stringliteral">" h "</span>;
<a name="l00351"></a>00351 <span class="keywordflow">if</span> (hours > 0 || minutes > 0)
<a name="l00352"></a>00352 cout << minutes << <span class="stringliteral">" m "</span>;
<a name="l00353"></a>00353 cout << fixed << setprecision(0)
<a name="l00354"></a>00354 << seconds << <span class="stringliteral">" s\n"</span> << endl;
<a name="l00355"></a>00355
<a name="l00356"></a>00356 <span class="keywordflow">return</span> 0;
<a name="l00357"></a>00357
<a name="l00358"></a>00358 } <span class="keywordflow">catch</span> (exception& e) {
<a name="l00359"></a>00359 cout << e.what() << endl;
<a name="l00360"></a>00360 <span class="keywordflow">return</span> 1;
<a name="l00361"></a>00361 } <span class="keywordflow">catch</span> (...) {
<a name="l00362"></a>00362 cout << <span class="stringliteral">"unknown error"</span> << endl;
<a name="l00363"></a>00363 <span class="keywordflow">return</span> 1;
<a name="l00364"></a>00364 }
<a name="l00365"></a>00365 }
<a name="l00366"></a>00366
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