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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html">ForwardRateAgreement</a></div>
<h1>ForwardRateAgreement Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::ForwardRateAgreement" --><!-- doxytag: inherits="QuantLib::Forward" --><code>#include <ql/Instruments/forwardrateagreement.hpp></code>
<p>
Inheritance diagram for ForwardRateAgreement:<p><center><img src="class_quant_lib_1_1_forward_rate_agreement__inherit__graph.png" border="0" usemap="#_forward_rate_agreement__inherit__map" alt="Inheritance graph"></center>
<map name="_forward_rate_agreement__inherit__map">
<area href="class_quant_lib_1_1_forward.html" shape="rect" coords="75,231,149,255" alt="">
<area href="class_quant_lib_1_1_instrument.html" shape="rect" coords="64,156,160,180" alt="">
<area href="class_quant_lib_1_1_lazy_object.html" shape="rect" coords="64,81,160,105" alt="">
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_forward_rate_agreement-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<a class="el" href="class_quant_lib_1_1_forward.html">Forward</a> rate agreement (FRA) class.
<p>
1. Unlike the forward contract conventions on carryable financial assets (stocks, bonds, commodities), the valueDate for an FRA is taken to be the day the forward loan or deposit begins and when full settlement takes place (based on the NPV of the contract on that date). maturityDate is the date the forward loan or deposit ends. In fact, the FRA settles and expires on the valueDate, not on the (later) maturityDate. It follows that (maturityDate - valueDate) is the tenor/term of the underlying loan or deposit<p>
2. Choose position type = Long for an "FRA purchase" (future long loan, short deposit [borrower])<p>
3. Choose position type = <a class="el" href="class_quant_lib_1_1_short.html">Short</a> for an "FRA sale" (future short loan, long deposit [lender])<p>
4. If strike is given in the constructor, can calculate the NPV of the contract via <a class="el" href="class_quant_lib_1_1_instrument.html#4f791921f063f3ea19bd6efa9ceb4892">NPV()</a>.<p>
5. If forward rate is desired/unknown, it can be obtained via <a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#f83c055c629943801ac2df90d61a6d98">forwardRate()</a>. In this case, the strike variable in the constructor is irrelevant and will be ignored.<p>
<b>Example: </b> <a class="el" href="_f_r_a_8cpp-example.html">valuation of a forward-rate agreement </a><p>
<dl compact><dt><b><a class="el" href="todo.html#_todo000027">Todo:</a></b></dt><dd>Add preconditions and tests</dd></dl>
<dl compact><dt><b><a class="el" href="todo.html#_todo000027">Todo:</a></b></dt><dd>Should put an instance of <a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html">ForwardRateAgreement</a> in the <a class="el" href="class_quant_lib_1_1_fra_rate_helper.html">FraRateHelper</a> to ensure consistency with the piecewise yield curve.</dd></dl>
<dl compact><dt><b><a class="el" href="todo.html#_todo000027">Todo:</a></b></dt><dd>Differentiate between BBA (British)/AFB (French) [assumed here] and ABA (Australian) banker conventions in the calculations.</dd></dl>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000051">Warning:</a></b></dt><dd>This class still needs to be rigorously tested</dd></dl>
<dl compact><dt><b>Examples: </b></dt><dd>
<p>
<a class="el" href="_f_r_a_8cpp-example.html#_a18">FRA.cpp</a>.</dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e7b14bfa8a1a869ccab101068863ede8"></a><!-- doxytag: member="QuantLib::ForwardRateAgreement::ForwardRateAgreement" ref="e7b14bfa8a1a869ccab101068863ede8" args="(const Date &valueDate, const Date &maturityDate, Position::Type type, Rate strikeForwardRate, Real notionalAmount, const boost::shared_ptr< Xibor > &index, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >())" -->
</td><td class="memItemRight" valign="bottom"><b>ForwardRateAgreement</b> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &valueDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturityDate, Position::Type type, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> strikeForwardRate, Real notionalAmount, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> > &index, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &discountCurve=<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> >())</td></tr>
<tr><td colspan="2"><div class="groupHeader">Calculations</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#72b04552f657bbfa9384c3c6139a7725">isExpired</a> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#c64e9810c0bd1cbee8425476db0bb58d">settlementDate</a> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#f17ea9c23961db17b0c901c96854c839">spotIncome</a> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &incomeDiscountCurve) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#2bb5d56364044aa5899a663ba84e92a3">spotValue</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Spot value (NPV) of the underlying loan. <a href="#2bb5d56364044aa5899a663ba84e92a3"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f83c055c629943801ac2df90d61a6d98"></a><!-- doxytag: member="QuantLib::ForwardRateAgreement::forwardRate" ref="f83c055c629943801ac2df90d61a6d98" args="() const" -->
<a class="el" href="class_quant_lib_1_1_interest_rate.html">InterestRate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#f83c055c629943801ac2df90d61a6d98">forwardRate</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Returns the relevant forward rate associated with the FRA term. <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#33f04fb3ac37abe7c9c6032cff611745">performCalculations</a> () const</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="37b1d8c236b9c6aa5b638ab7116525c1"></a><!-- doxytag: member="QuantLib::ForwardRateAgreement::fraType_" ref="37b1d8c236b9c6aa5b638ab7116525c1" args="" -->
Position::Type </td><td class="memItemRight" valign="bottom"><b>fraType_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4f2b17fe2dbe0ad6d82e5390ac162403"></a><!-- doxytag: member="QuantLib::ForwardRateAgreement::forwardRate_" ref="4f2b17fe2dbe0ad6d82e5390ac162403" args="" -->
<a class="el" href="class_quant_lib_1_1_interest_rate.html">InterestRate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#4f2b17fe2dbe0ad6d82e5390ac162403">forwardRate_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">aka FRA rate (the market forward rate) <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1d09c6bb42f2e1ad73823bfa1ad6f5b3"></a><!-- doxytag: member="QuantLib::ForwardRateAgreement::strikeForwardRate_" ref="1d09c6bb42f2e1ad73823bfa1ad6f5b3" args="" -->
<a class="el" href="class_quant_lib_1_1_interest_rate.html">InterestRate</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#1d09c6bb42f2e1ad73823bfa1ad6f5b3">strikeForwardRate_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">aka FRA fixing rate, contract rate <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0791bd889954caaaf829a9e5afc95a19"></a><!-- doxytag: member="QuantLib::ForwardRateAgreement::notionalAmount_" ref="0791bd889954caaaf829a9e5afc95a19" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>notionalAmount_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="046436d9788df2cef672afcbff782298"></a><!-- doxytag: member="QuantLib::ForwardRateAgreement::index_" ref="046436d9788df2cef672afcbff782298" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> > </td><td class="memItemRight" valign="bottom"><b>index_</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="72b04552f657bbfa9384c3c6139a7725"></a><!-- doxytag: member="QuantLib::ForwardRateAgreement::isExpired" ref="72b04552f657bbfa9384c3c6139a7725" args="() const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
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<td class="memname">bool isExpired </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
A FRA expires/settles on the valueDate
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_forward.html#72b04552f657bbfa9384c3c6139a7725">Forward</a>.
</div>
</div><p>
<a class="anchor" name="c64e9810c0bd1cbee8425476db0bb58d"></a><!-- doxytag: member="QuantLib::ForwardRateAgreement::settlementDate" ref="c64e9810c0bd1cbee8425476db0bb58d" args="() const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
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<td class="memname"><a class="el" href="class_quant_lib_1_1_date.html">Date</a> settlementDate </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
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<div class="memdoc">
<p>
This returns evaluationDate + settlementDays (not FRA valueDate).
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_forward.html">Forward</a>.
</div>
</div><p>
<a class="anchor" name="f17ea9c23961db17b0c901c96854c839"></a><!-- doxytag: member="QuantLib::ForwardRateAgreement::spotIncome" ref="f17ea9c23961db17b0c901c96854c839" args="(const Handle< YieldTermStructure > &incomeDiscountCurve) const" -->
<div class="memitem">
<div class="memproto">
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<td class="memname">Real spotIncome </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td>
<td class="paramname"> <em>incomeDiscountCurve</em> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Income is zero for a FRA
<p>
Implements <a class="el" href="class_quant_lib_1_1_forward.html#a182c8a294fdc1dc381d8674e581045b">Forward</a>.
</div>
</div><p>
<a class="anchor" name="2bb5d56364044aa5899a663ba84e92a3"></a><!-- doxytag: member="QuantLib::ForwardRateAgreement::spotValue" ref="2bb5d56364044aa5899a663ba84e92a3" args="() const" -->
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<td class="memname">Real spotValue </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Spot value (NPV) of the underlying loan.
<p>
This has always a positive value (asset), even if short the FRA
<p>
Implements <a class="el" href="class_quant_lib_1_1_forward.html#03bf9b7028af075bcaf288e9681aa4ba">Forward</a>.
</div>
</div><p>
<a class="anchor" name="33f04fb3ac37abe7c9c6032cff611745"></a><!-- doxytag: member="QuantLib::ForwardRateAgreement::performCalculations" ref="33f04fb3ac37abe7c9c6032cff611745" args="() const" -->
<div class="memitem">
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<td class="memname">void performCalculations </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [protected, virtual]</code></td>
</tr>
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<div class="memdoc">
<p>
In case a pricing engine is <b>not</b> 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.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_forward.html#33f04fb3ac37abe7c9c6032cff611745">Forward</a>.
</div>
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