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<!-- doxytag: class="QuantLib::Forward" --><!-- doxytag: inherits="QuantLib::Instrument" -->
<p>Abstract base forward class.
<a href="class_quant_lib_1_1_forward.html#details">More...</a></p>
<p><code>#include <ql/instruments/forward.hpp></code></p>
<div class="dynheader">
Inheritance diagram for Forward:</div>
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<div class="center"><img src="class_quant_lib_1_1_forward__inherit__graph.png" border="0" usemap="#_forward_inherit__map" alt="Inheritance graph"/></div>
<map name="_forward_inherit__map" id="_forward_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_fixed_rate_bond_forward.html" title="Forward contract on a fixed-rate bond" alt="" coords="5,166,163,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_instrument.html" title="Abstract instrument class." alt="" coords="43,6,125,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_forward-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0304e7ed8b1277b01dd0a094102ddbce"></a><!-- doxytag: member="QuantLib::Forward::spotValue" ref="a0304e7ed8b1277b01dd0a094102ddbce" args="() const =0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#a0304e7ed8b1277b01dd0a094102ddbce">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" align="right" valign="top"><a class="anchor" id="a789981beda42e02c2698dee83d077a1d"></a><!-- doxytag: member="QuantLib::Forward::spotIncome" ref="a789981beda42e02c2698dee83d077a1d" args="(const Handle< YieldTermStructure > &incomeDiscountCurve) const =0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#a789981beda42e02c2698dee83d077a1d">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> > &<a class="el" href="class_quant_lib_1_1_forward.html#a132db8214320701ae378e309dea4d463">incomeDiscountCurve</a>) 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" align="right" valign="top"><a class="anchor" id="aae01825686b9e247bae78fc311f43439"></a><!-- doxytag: member="QuantLib::Forward::settlementDate" ref="aae01825686b9e247bae78fc311f43439" 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" align="right" valign="top"><a class="anchor" id="a1dfea729100daaf17a5ac3b724c02556"></a><!-- doxytag: member="QuantLib::Forward::calendar" ref="a1dfea729100daaf17a5ac3b724c02556" 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" align="right" valign="top"><a class="anchor" id="a9d653d6960e5abf8a835f24fd9beb685"></a><!-- doxytag: member="QuantLib::Forward::businessDayConvention" ref="a9d653d6960e5abf8a835f24fd9beb685" args="() const " -->
<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>businessDayConvention</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1725ea0bf0762b6642c802532d8c546f"></a><!-- doxytag: member="QuantLib::Forward::dayCounter" ref="a1725ea0bf0762b6642c802532d8c546f" 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" align="right" valign="top"><a class="anchor" id="a48989c032fd479610770da640ac0cdfd"></a><!-- doxytag: member="QuantLib::Forward::discountCurve" ref="a48989c032fd479610770da640ac0cdfd" 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#a48989c032fd479610770da640ac0cdfd">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" align="right" valign="top"><a class="anchor" id="a132db8214320701ae378e309dea4d463"></a><!-- doxytag: member="QuantLib::Forward::incomeDiscountCurve" ref="a132db8214320701ae378e309dea4d463" 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#a132db8214320701ae378e309dea4d463">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" align="right" valign="top"><a class="anchor" id="a274c03751addc5c2ea63cc23d14a0bfe"></a><!-- doxytag: member="QuantLib::Forward::isExpired" ref="a274c03751addc5c2ea63cc23d14a0bfe" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#a274c03751addc5c2ea63cc23d14a0bfe">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" align="right" valign="top">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#a3b910af2aa00c99e596ec6a0f1e8e0dd">forwardValue</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">forward value/price of underlying, discounting income/dividends <a href="#a3b910af2aa00c99e596ec6a0f1e8e0dd"></a><br/></td></tr>
<tr><td class="memItemLeft" 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#a4c43d8ef9bdc2c5ba053471a9e3612d9">impliedYield</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> underlyingSpotValue, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_forward.html#a3b910af2aa00c99e596ec6a0f1e8e0dd">forwardValue</a>, <a class="el" href="class_quant_lib_1_1_date.html">Date</a> settlementDate, Compounding compoundingConvention, <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> dayCounter)</td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a09e4aff32a7efb33b916266902ce1c75"></a><!-- doxytag: member="QuantLib::Forward::Forward" ref="a09e4aff32a7efb33b916266902ce1c75" 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#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> businessDayConvention, <a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">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> > &<a class="el" href="class_quant_lib_1_1_forward.html#a48989c032fd479610770da640ac0cdfd">discountCurve</a>=<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" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#a02b90bbfee3ee29627939544fb59ec93">performCalculations</a> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#ade985afc594074c269371cc442f3c9b2">underlyingIncome_</a></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#a1269c585e5e0bd28fb36d1fde51ddfc3">underlyingSpotValue_</a></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a76c6c2d60ef1370e20bdf40a0e0ca642"></a><!-- doxytag: member="QuantLib::Forward::dayCounter_" ref="a76c6c2d60ef1370e20bdf40a0e0ca642" 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" align="right" valign="top"><a class="anchor" id="a021eab7f1f44c1c71b8dfd29b9c4864b"></a><!-- doxytag: member="QuantLib::Forward::calendar_" ref="a021eab7f1f44c1c71b8dfd29b9c4864b" 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" align="right" valign="top"><a class="anchor" id="afcd8e9f7982524cb0e8c3d7889a752b8"></a><!-- doxytag: member="QuantLib::Forward::businessDayConvention_" ref="afcd8e9f7982524cb0e8c3d7889a752b8" args="" -->
<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>businessDayConvention_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8cb58608de54286272715a08a7492a7e"></a><!-- doxytag: member="QuantLib::Forward::settlementDays_" ref="a8cb58608de54286272715a08a7492a7e" args="" -->
<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td><td class="memItemRight" valign="bottom"><b>settlementDays_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a73cfad8707a6a802108b5bb7e04aca75"></a><!-- doxytag: member="QuantLib::Forward::payoff_" ref="a73cfad8707a6a802108b5bb7e04aca75" 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" 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#aebe1ee9fe8c4edd97894a5caec6cf370">valueDate_</a></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="adca7c976b55e7bb2a6bf5ed335081100"></a><!-- doxytag: member="QuantLib::Forward::maturityDate_" ref="adca7c976b55e7bb2a6bf5ed335081100" 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#adca7c976b55e7bb2a6bf5ed335081100">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" align="right" valign="top"><a class="anchor" id="a188f6df4c42679c1c133919254e351c5"></a><!-- doxytag: member="QuantLib::Forward::discountCurve_" ref="a188f6df4c42679c1c133919254e351c5" 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" 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#af7347848e4548d680592da556fe7fb28">incomeDiscountCurve_</a></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Abstract base forward class. </p>
<p>Derived classes must implement the virtual functions <a class="el" href="class_quant_lib_1_1_forward.html#a0304e7ed8b1277b01dd0a094102ddbce" 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#a789981beda42e02c2698dee83d077a1d" 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#a02b90bbfee3ee29627939544fb59ec93">performCalculations()</a> in the derived class before the base-class implementation is called.</p>
<p><a class="el" href="class_quant_lib_1_1_forward.html#a789981beda42e02c2698dee83d077a1d" 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>
<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>
<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 class="todo"><dt><b><a class="el" href="todo.html#_todo000025">Possible enhancements:</a></b></dt><dd>Add preconditions and tests</dd></dl>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000057">Warning:</a></b></dt><dd>This class still needs to be rigorously tested</dd></dl>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a3b910af2aa00c99e596ec6a0f1e8e0dd"></a><!-- doxytag: member="QuantLib::Forward::forwardValue" ref="a3b910af2aa00c99e596ec6a0f1e8e0dd" args="() const " -->
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<td class="memname">virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_forward.html#a3b910af2aa00c99e596ec6a0f1e8e0dd">forwardValue</a> </td>
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<p>forward value/price of underlying, discounting income/dividends </p>
<dl class="note"><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" id="a4c43d8ef9bdc2c5ba053471a9e3612d9"></a><!-- doxytag: member="QuantLib::Forward::impliedYield" ref="a4c43d8ef9bdc2c5ba053471a9e3612d9" 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> <a class="el" href="class_quant_lib_1_1_forward.html#a4c43d8ef9bdc2c5ba053471a9e3612d9">impliedYield</a> </td>
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<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>underlyingSpotValue</em>, </td>
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<td class="paramname"><em>forwardValue</em>, </td>
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<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>
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<p>Simple yield calculation based on underlying spot and forward values, taking into account underlying income. When <img class="formulaInl" alt="$ t>0 $" src="form_156.png"/>, call with: underlyingSpotValue=spotValue(t), forwardValue=strikePrice, to get current yield. For a repo, if <img class="formulaInl" alt="$ t=0 $" src="form_157.png"/>, impliedYield should reproduce the spot repo rate. For FRA's, this should reproduce the relevant zero rate at the FRA's maturityDate_; </p>
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<a class="anchor" id="a02b90bbfee3ee29627939544fb59ec93"></a><!-- doxytag: member="QuantLib::Forward::performCalculations" ref="a02b90bbfee3ee29627939544fb59ec93" args="() const " -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_forward.html#a02b90bbfee3ee29627939544fb59ec93">performCalculations</a> </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>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#a02b90bbfee3ee29627939544fb59ec93">Instrument</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html#a02b90bbfee3ee29627939544fb59ec93">FixedRateBondForward</a>.</p>
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<hr/><h2>Member Data Documentation</h2>
<a class="anchor" id="ade985afc594074c269371cc442f3c9b2"></a><!-- doxytag: member="QuantLib::Forward::underlyingIncome_" ref="ade985afc594074c269371cc442f3c9b2" args="" -->
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_forward.html#ade985afc594074c269371cc442f3c9b2">underlyingIncome_</a><code> [mutable, protected]</code></td>
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<p>derived classes must set this, typically via <a class="el" href="class_quant_lib_1_1_forward.html#a789981beda42e02c2698dee83d077a1d" title="NPV of income/dividends/storage-costs etc. of underlying instrument.">spotIncome()</a> </p>
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<a class="anchor" id="a1269c585e5e0bd28fb36d1fde51ddfc3"></a><!-- doxytag: member="QuantLib::Forward::underlyingSpotValue_" ref="a1269c585e5e0bd28fb36d1fde51ddfc3" args="" -->
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_forward.html#a1269c585e5e0bd28fb36d1fde51ddfc3">underlyingSpotValue_</a><code> [mutable, protected]</code></td>
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<p>derived classes must set this, typically via <a class="el" href="class_quant_lib_1_1_forward.html#a0304e7ed8b1277b01dd0a094102ddbce" title="returns spot value/price of an underlying financial instrument">spotValue()</a> </p>
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<a class="anchor" id="aebe1ee9fe8c4edd97894a5caec6cf370"></a><!-- doxytag: member="QuantLib::Forward::valueDate_" ref="aebe1ee9fe8c4edd97894a5caec6cf370" 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#aebe1ee9fe8c4edd97894a5caec6cf370">valueDate_</a><code> [protected]</code></td>
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<p>valueDate = settlement date (date the fwd contract starts accruing) </p>
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<a class="anchor" id="af7347848e4548d680592da556fe7fb28"></a><!-- doxytag: member="QuantLib::Forward::incomeDiscountCurve_" ref="af7347848e4548d680592da556fe7fb28" 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#af7347848e4548d680592da556fe7fb28">incomeDiscountCurve_</a><code> [protected]</code></td>
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<p>must set this in derived classes, based on particular underlying </p>
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