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<title>QuantLib: FixedRateBondForward Class Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html">FixedRateBondForward</a></div>
<h1>FixedRateBondForward Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::FixedRateBondForward" --><!-- doxytag: inherits="QuantLib::Forward" --><code>#include <ql/instruments/fixedratebondforward.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for FixedRateBondForward:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_fixed_rate_bond_forward__inherit__graph.png" border="0" usemap="#_fixed_rate_bond_forward__inherit__map" alt="Inheritance graph"></center>
<map name="_fixed_rate_bond_forward__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_forward.html" title="Abstract base forward class." alt="" coords="53,7,128,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_fixed_rate_bond_forward-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Forward contract on a fixed-rate bond
<p>
1. valueDate refers to the settlement date of the bond forward contract. maturityDate is the delivery (or repurchase) date for the underlying bond (not the bond's maturity date).<p>
2. Relevant formulas used in the calculations (<img class="formulaInl" alt="$P$" src="form_70.png"> refers to a price):<p>
a. <img class="formulaInl" alt="$ P_{CleanFwd}(t) = P_{DirtyFwd}(t) - AI(t=deliveryDate) $" src="form_71.png"> where <img class="formulaInl" alt="$ AI $" src="form_72.png"> refers to the accrued interest on the underlying bond.<p>
b. <img class="formulaInl" alt="$ P_{DirtyFwd}(t) = \frac{P_{DirtySpot}(t) - SpotIncome(t)} {discountCurve->discount(t=deliveryDate)} $" src="form_73.png"><p>
c. <img class="formulaInl" alt="$ SpotIncome(t) = \sum_i \left( CF_i \times incomeDiscountCurve->discount(t_i) \right) $" src="form_74.png"> where <img class="formulaInl" alt="$ CF_i $" src="form_75.png"> represents the ith bond cash flow (coupon payment) associated with the underlying bond falling between the settlementDate and the deliveryDate. (Note the two different discount curves used in b. and c.)<p>
<b>Example: </b> <a class="el" href="_repo_8cpp-example.html">valuation of a repo on a fixed-rate bond </a><p>
<dl compact><dt><b><a class="el" href="todo.html#_todo000011">Possible enhancements:</a></b></dt><dd>Add preconditions and tests</dd></dl>
<dl compact><dt><b><a class="el" href="todo.html#_todo000011">Possible enhancements:</a></b></dt><dd>Create switch- if coupon goes to seller is toggled on, don't consider income in the <img class="formulaInl" alt="$ P_{DirtyFwd}(t) $" src="form_76.png"> calculation.</dd></dl>
<dl compact><dt><b><a class="el" href="todo.html#_todo000011">Possible enhancements:</a></b></dt><dd>Verify this works when the underlying is paper (in which case ignore all AI.)</dd></dl>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000042">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="_repo_8cpp-example.html#_a20">Repo.cpp</a>.</dl><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 colspan="2"><div class="groupHeader">Constructors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html#0d85f16ee4f4bed9faec5733b908b2d6">FixedRateBondForward</a> (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#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike, <a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> businessDayConvention, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_fixed_rate_bond.html">FixedRateBond</a> > &fixedCouponBond, 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> >(), 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=<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"><a class="anchor" name="72f9af6894914f64f567f95a5b819046"></a><!-- doxytag: member="QuantLib::FixedRateBondForward::forwardPrice" ref="72f9af6894914f64f567f95a5b819046" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html#72f9af6894914f64f567f95a5b819046">forwardPrice</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">(dirty) forward bond price <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f5e54f0290cc4f8832293ca9f9cf996f"></a><!-- doxytag: member="QuantLib::FixedRateBondForward::cleanForwardPrice" ref="f5e54f0290cc4f8832293ca9f9cf996f" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html#f5e54f0290cc4f8832293ca9f9cf996f">cleanForwardPrice</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">(dirty) forward bond price minus accrued on bond at delivery <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html#1560226b41dc061de57d00f0b0e0b7eb">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="mdescLeft"> </td><td class="mdescRight">NPV of bond coupons discounted using incomeDiscountCurve. <a href="#1560226b41dc061de57d00f0b0e0b7eb"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="51d635d520ea883db82bac7f4e684b75"></a><!-- doxytag: member="QuantLib::FixedRateBondForward::spotValue" ref="51d635d520ea883db82bac7f4e684b75" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html#51d635d520ea883db82bac7f4e684b75">spotValue</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">NPV of underlying bond. <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_fixed_rate_bond_forward.html#02b90bbfee3ee29627939544fb59ec93">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="c43428ab2bdc78abd3ab5ef37f36eaad"></a><!-- doxytag: member="QuantLib::FixedRateBondForward::fixedCouponBond_" ref="c43428ab2bdc78abd3ab5ef37f36eaad" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_fixed_rate_bond.html">FixedRateBond</a> > </td><td class="memItemRight" valign="bottom"><b>fixedCouponBond_</b></td></tr>
</table>
<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="0d85f16ee4f4bed9faec5733b908b2d6"></a><!-- doxytag: member="QuantLib::FixedRateBondForward::FixedRateBondForward" ref="0d85f16ee4f4bed9faec5733b908b2d6" args="(const Date &valueDate, const Date &maturityDate, Position::Type type, Real strike, Natural settlementDays, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, const boost::shared_ptr< FixedRateBond > &fixedCouponBond, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &incomeDiscountCurve=Handle< YieldTermStructure >())" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html">FixedRateBondForward</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"> <em>valueDate</em>, </td>
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<td class="paramkey"></td>
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<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td>
<td class="paramname"> <em>maturityDate</em>, </td>
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<td class="paramtype">Position::Type </td>
<td class="paramname"> <em>type</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"> <em>strike</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td>
<td class="paramname"> <em>settlementDays</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td>
<td class="paramname"> <em>dayCounter</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> & </td>
<td class="paramname"> <em>calendar</em>, </td>
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<td class="paramtype"><a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td>
<td class="paramname"> <em>businessDayConvention</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype">const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_fixed_rate_bond.html">FixedRateBond</a> > & </td>
<td class="paramname"> <em>fixedCouponBond</em>, </td>
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<td class="paramkey"></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>discountCurve</em> = <code><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> >()</code>, </td>
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<td class="paramkey"></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> = <code><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> >()</code></td><td> </td>
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<td>)</td>
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<p>
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#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV()</a>.<p>
If strike/forward price is desired, it can be obtained via <a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html#72f9af6894914f64f567f95a5b819046" title="(dirty) forward bond price">forwardPrice()</a>. In this case, the strike variable in the constructor is irrelevant and will be ignored.
</div>
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<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="1560226b41dc061de57d00f0b0e0b7eb"></a><!-- doxytag: member="QuantLib::FixedRateBondForward::spotIncome" ref="1560226b41dc061de57d00f0b0e0b7eb" args="(const Handle< YieldTermStructure > &incomeDiscountCurve) const " -->
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<td class="memname"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> 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>
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<p>
NPV of bond coupons discounted using incomeDiscountCurve.
<p>
Here only coupons between max(evaluation date,settlement date) and maturity date of bond forward contract are considered income.
<p>Implements <a class="el" href="class_quant_lib_1_1_forward.html#789981beda42e02c2698dee83d077a1d">Forward</a>.</p>
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<a class="anchor" name="02b90bbfee3ee29627939544fb59ec93"></a><!-- doxytag: member="QuantLib::FixedRateBondForward::performCalculations" ref="02b90bbfee3ee29627939544fb59ec93" args="() const " -->
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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>
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<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#02b90bbfee3ee29627939544fb59ec93">Forward</a>.</p>
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