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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_forward.html">Forward</a></div>
<h1>Forward Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::Forward" --><!-- doxytag: inherits="QuantLib::Instrument" --><code>#include <ql/instruments/forward.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for Forward:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_forward__inherit__graph.png" border="0" usemap="#_forward__inherit__map" alt="Inheritance graph"></center>
<map name="_forward__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_fixed_rate_bond_forward.html" title="Forward contract on a fixed-rate bond" alt="" coords="5,161,176,188"><area shape="rect" href="class_quant_lib_1_1_instrument.html" title="Abstract instrument class." alt="" coords="44,7,137,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_forward-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Abstract base forward class.
<p>
Derived classes must implement the virtual functions <a class="el" href="class_quant_lib_1_1_forward.html#0304e7ed8b1277b01dd0a094102ddbce" title="returns spot value/price of an underlying financial instrument">spotValue()</a> (NPV or spot price) and <a class="el" href="class_quant_lib_1_1_forward.html#789981beda42e02c2698dee83d077a1d" title="NPV of income/dividends/storage-costs etc. of underlying instrument.">spotIncome()</a> 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 <a class="el" href="class_quant_lib_1_1_forward.html#02b90bbfee3ee29627939544fb59ec93">performCalculations()</a> in the derived class before the base-class implementation is called.<p>
<a class="el" href="class_quant_lib_1_1_forward.html#789981beda42e02c2698dee83d077a1d" title="NPV of income/dividends/storage-costs etc. of underlying instrument.">spotIncome()</a> refers generically to the present value of coupons, dividends or storage costs.<p>
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.<p>
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.<p>
<dl compact><dt><b><a class="el" href="todo.html#_todo000014">Possible enhancements:</a></b></dt><dd>Add preconditions and tests</dd></dl>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000043">Warning:</a></b></dt><dd>This class still needs to be rigorously tested</dd></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 class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0304e7ed8b1277b01dd0a094102ddbce"></a><!-- doxytag: member="QuantLib::Forward::spotValue" ref="0304e7ed8b1277b01dd0a094102ddbce" args="() const =0" -->
virtual <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_forward.html#0304e7ed8b1277b01dd0a094102ddbce">spotValue</a> () const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns spot value/price of an underlying financial instrument <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="789981beda42e02c2698dee83d077a1d"></a><!-- doxytag: member="QuantLib::Forward::spotIncome" ref="789981beda42e02c2698dee83d077a1d" args="(const Handle< YieldTermStructure > &incomeDiscountCurve) const =0" -->
virtual <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_forward.html#789981beda42e02c2698dee83d077a1d">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 =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">NPV of income/dividends/storage-costs etc. of underlying instrument. <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ae01825686b9e247bae78fc311f43439"></a><!-- doxytag: member="QuantLib::Forward::settlementDate" ref="ae01825686b9e247bae78fc311f43439" args="() const " -->
virtual <a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>settlementDate</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dfea729100daaf17a5ac3b724c02556"></a><!-- doxytag: member="QuantLib::Forward::calendar" ref="1dfea729100daaf17a5ac3b724c02556" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> & </td><td class="memItemRight" valign="bottom"><b>calendar</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9d653d6960e5abf8a835f24fd9beb685"></a><!-- doxytag: member="QuantLib::Forward::businessDayConvention" ref="9d653d6960e5abf8a835f24fd9beb685" args="() const " -->
<a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>businessDayConvention</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1725ea0bf0762b6642c802532d8c546f"></a><!-- doxytag: member="QuantLib::Forward::dayCounter" ref="1725ea0bf0762b6642c802532d8c546f" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td><td class="memItemRight" valign="bottom"><b>dayCounter</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="48989c032fd479610770da640ac0cdfd"></a><!-- doxytag: member="QuantLib::Forward::discountCurve" ref="48989c032fd479610770da640ac0cdfd" args="() 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="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#48989c032fd479610770da640ac0cdfd">discountCurve</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">term structure relevant to the contract (e.g. repo curve) <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="132db8214320701ae378e309dea4d463"></a><!-- doxytag: member="QuantLib::Forward::incomeDiscountCurve" ref="132db8214320701ae378e309dea4d463" args="() 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="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#132db8214320701ae378e309dea4d463">incomeDiscountCurve</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">term structure that discounts the underlying's income cash flows <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="274c03751addc5c2ea63cc23d14a0bfe"></a><!-- doxytag: member="QuantLib::Forward::isExpired" ref="274c03751addc5c2ea63cc23d14a0bfe" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#274c03751addc5c2ea63cc23d14a0bfe">isExpired</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument is still tradable. <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Calculations</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual <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_forward.html#3b910af2aa00c99e596ec6a0f1e8e0dd">forwardValue</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">forward value/price of underlying, discounting income/dividends <a href="#3b910af2aa00c99e596ec6a0f1e8e0dd"></a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><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.html#4c43d8ef9bdc2c5ba053471a9e3612d9">impliedYield</a> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> underlyingSpotValue, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> forwardValue, <a class="el" href="class_quant_lib_1_1_date.html">Date</a> settlementDate, <a class="el" href="namespace_quant_lib.html#2779d04b4839fd386b5c85bbb96aaf73">Compounding</a> compoundingConvention, <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> dayCounter)</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="09e4aff32a7efb33b916266902ce1c75"></a><!-- doxytag: member="QuantLib::Forward::Forward" ref="09e4aff32a7efb33b916266902ce1c75" args="(const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, Natural settlementDays, const boost::shared_ptr< Payoff > &payoff, const Date &valueDate, const Date &maturityDate, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >())" -->
</td><td class="memItemRight" valign="bottom"><b>Forward</b> (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, <a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_payoff.html">Payoff</a> > &payoff, 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, 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 class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_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="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#de985afc594074c269371cc442f3c9b2">underlyingIncome_</a></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_forward.html#1269c585e5e0bd28fb36d1fde51ddfc3">underlyingSpotValue_</a></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="76c6c2d60ef1370e20bdf40a0e0ca642"></a><!-- doxytag: member="QuantLib::Forward::dayCounter_" ref="76c6c2d60ef1370e20bdf40a0e0ca642" args="" -->
<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><b>dayCounter_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="021eab7f1f44c1c71b8dfd29b9c4864b"></a><!-- doxytag: member="QuantLib::Forward::calendar_" ref="021eab7f1f44c1c71b8dfd29b9c4864b" args="" -->
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><b>calendar_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fcd8e9f7982524cb0e8c3d7889a752b8"></a><!-- doxytag: member="QuantLib::Forward::businessDayConvention_" ref="fcd8e9f7982524cb0e8c3d7889a752b8" args="" -->
<a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>businessDayConvention_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8cb58608de54286272715a08a7492a7e"></a><!-- doxytag: member="QuantLib::Forward::settlementDays_" ref="8cb58608de54286272715a08a7492a7e" args="" -->
<a class="el" href="group__types.html#g7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td><td class="memItemRight" valign="bottom"><b>settlementDays_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="73cfad8707a6a802108b5bb7e04aca75"></a><!-- doxytag: member="QuantLib::Forward::payoff_" ref="73cfad8707a6a802108b5bb7e04aca75" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_payoff.html">Payoff</a> > </td><td class="memItemRight" valign="bottom"><b>payoff_</b></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.html#ebe1ee9fe8c4edd97894a5caec6cf370">valueDate_</a></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dca7c976b55e7bb2a6bf5ed335081100"></a><!-- doxytag: member="QuantLib::Forward::maturityDate_" ref="dca7c976b55e7bb2a6bf5ed335081100" args="" -->
<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.html#dca7c976b55e7bb2a6bf5ed335081100">maturityDate_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">maturityDate of the forward contract or delivery date of underlying <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="188f6df4c42679c1c133919254e351c5"></a><!-- doxytag: member="QuantLib::Forward::discountCurve_" ref="188f6df4c42679c1c133919254e351c5" args="" -->
<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="memItemRight" valign="bottom"><b>discountCurve_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><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="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#f7347848e4548d680592da556fe7fb28">incomeDiscountCurve_</a></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="3b910af2aa00c99e596ec6a0f1e8e0dd"></a><!-- doxytag: member="QuantLib::Forward::forwardValue" ref="3b910af2aa00c99e596ec6a0f1e8e0dd" args="() const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">virtual <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> forwardValue </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
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<div class="memdoc">
<p>
forward value/price of underlying, discounting income/dividends
<p>
<dl class="note" compact><dt><b>Note:</b></dt><dd>if this is a bond forward price, is must be a dirty forward price. </dd></dl>
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<a class="anchor" name="4c43d8ef9bdc2c5ba053471a9e3612d9"></a><!-- doxytag: member="QuantLib::Forward::impliedYield" ref="4c43d8ef9bdc2c5ba053471a9e3612d9" args="(Real underlyingSpotValue, Real forwardValue, Date settlementDate, Compounding compoundingConvention, DayCounter dayCounter)" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_interest_rate.html">InterestRate</a> impliedYield </td>
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<td class="paramtype"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"> <em>underlyingSpotValue</em>, </td>
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<td class="paramtype"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"> <em>forwardValue</em>, </td>
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<td class="paramtype"><a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td>
<td class="paramname"> <em>settlementDate</em>, </td>
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<td class="paramtype"><a class="el" href="namespace_quant_lib.html#2779d04b4839fd386b5c85bbb96aaf73">Compounding</a> </td>
<td class="paramname"> <em>compoundingConvention</em>, </td>
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<td class="paramtype"><a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td>
<td class="paramname"> <em>dayCounter</em></td><td> </td>
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Simple yield calculation based on underlying spot and forward values, taking into account underlying income. When <img class="formulaInl" alt="$ t>0 $" src="form_77.png">, call with: underlyingSpotValue=spotValue(t), forwardValue=strikePrice, to get current yield. For a repo, if <img class="formulaInl" alt="$ t=0 $" src="form_78.png">, impliedYield should reproduce the spot repo rate. For FRA's, this should reproduce the relevant zero rate at the FRA's maturityDate_;
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<a class="anchor" name="02b90bbfee3ee29627939544fb59ec93"></a><!-- doxytag: member="QuantLib::Forward::performCalculations" ref="02b90bbfee3ee29627939544fb59ec93" args="() const " -->
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<td class="memname">void performCalculations </td>
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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_instrument.html#02b90bbfee3ee29627939544fb59ec93">Instrument</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html#02b90bbfee3ee29627939544fb59ec93">FixedRateBondForward</a>.</p>
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<hr><h2>Member Data Documentation</h2>
<a class="anchor" name="de985afc594074c269371cc442f3c9b2"></a><!-- doxytag: member="QuantLib::Forward::underlyingIncome_" ref="de985afc594074c269371cc442f3c9b2" args="" -->
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<td class="memname"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_forward.html#de985afc594074c269371cc442f3c9b2">underlyingIncome_</a><code> [mutable, protected]</code> </td>
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derived classes must set this, typically via <a class="el" href="class_quant_lib_1_1_forward.html#789981beda42e02c2698dee83d077a1d" title="NPV of income/dividends/storage-costs etc. of underlying instrument.">spotIncome()</a>
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<a class="anchor" name="1269c585e5e0bd28fb36d1fde51ddfc3"></a><!-- doxytag: member="QuantLib::Forward::underlyingSpotValue_" ref="1269c585e5e0bd28fb36d1fde51ddfc3" args="" -->
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<td class="memname"><a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_forward.html#1269c585e5e0bd28fb36d1fde51ddfc3">underlyingSpotValue_</a><code> [mutable, protected]</code> </td>
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derived classes must set this, typically via <a class="el" href="class_quant_lib_1_1_forward.html#0304e7ed8b1277b01dd0a094102ddbce" title="returns spot value/price of an underlying financial instrument">spotValue()</a>
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<a class="anchor" name="ebe1ee9fe8c4edd97894a5caec6cf370"></a><!-- doxytag: member="QuantLib::Forward::valueDate_" ref="ebe1ee9fe8c4edd97894a5caec6cf370" args="" -->
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<td class="memname"><a class="el" href="class_quant_lib_1_1_date.html">Date</a> <a class="el" href="class_quant_lib_1_1_forward.html#ebe1ee9fe8c4edd97894a5caec6cf370">valueDate_</a><code> [protected]</code> </td>
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valueDate = settlement date (date the fwd contract starts accruing)
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<a class="anchor" name="f7347848e4548d680592da556fe7fb28"></a><!-- doxytag: member="QuantLib::Forward::incomeDiscountCurve_" ref="f7347848e4548d680592da556fe7fb28" args="" -->
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<td class="memname"><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>> <a class="el" href="class_quant_lib_1_1_forward.html#f7347848e4548d680592da556fe7fb28">incomeDiscountCurve_</a><code> [protected]</code> </td>
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must set this in derived classes, based on particular underlying
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