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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html">ForwardRateAgreement</a></li> </ul>
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<div class="title">ForwardRateAgreement Class Reference<div class="ingroups"><a class="el" href="group__instruments.html">Financial instruments</a></div></div> </div>
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<p>Forward rate agreement (FRA) class
<a href="class_quant_lib_1_1_forward_rate_agreement.html#details">More...</a></p>
<p><code>#include <ql/instruments/forwardrateagreement.hpp></code></p>
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<table class="memberdecls">
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Public Member Functions</h2></td></tr>
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 </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#gaede435af51236692b1107d7639581d39">Rate</a> strikeForwardRate, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> notionalAmount, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</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> > &<a class="el" href="class_quant_lib_1_1_forward.html#a4b9eed4aaf5a8547990a1cff784c0ed8">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> >(), bool useIndexedCoupon=true)</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_forward"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_forward')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_forward.html">Forward</a></td></tr>
<tr class="memitem:a4ffdceafee5fe94e7646e4f04300ba18 inherit pub_methods_class_quant_lib_1_1_forward"><td class="memItemLeft" align="right" valign="top"><a id="a4ffdceafee5fe94e7646e4f04300ba18"></a>
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 class="separator:a4ffdceafee5fe94e7646e4f04300ba18 inherit pub_methods_class_quant_lib_1_1_forward"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:adb162cdfeed00aeb62b8cac19f5d0948 inherit pub_methods_class_quant_lib_1_1_forward"><td class="memItemLeft" align="right" valign="top"><a id="adb162cdfeed00aeb62b8cac19f5d0948"></a>
<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>businessDayConvention</b> () const</td></tr>
<tr class="separator:adb162cdfeed00aeb62b8cac19f5d0948 inherit pub_methods_class_quant_lib_1_1_forward"><td class="memSeparator" colspan="2"> </td></tr>
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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 class="separator:a444059abeb0fb23c8244884dcee82ae2 inherit pub_methods_class_quant_lib_1_1_forward"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4b9eed4aaf5a8547990a1cff784c0ed8 inherit pub_methods_class_quant_lib_1_1_forward"><td class="memItemLeft" align="right" valign="top"><a id="a4b9eed4aaf5a8547990a1cff784c0ed8"></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><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#a4b9eed4aaf5a8547990a1cff784c0ed8">discountCurve</a> () const</td></tr>
<tr class="memdesc:a4b9eed4aaf5a8547990a1cff784c0ed8 inherit pub_methods_class_quant_lib_1_1_forward"><td class="mdescLeft"> </td><td class="mdescRight">term structure relevant to the contract (e.g. repo curve) <br /></td></tr>
<tr class="separator:a4b9eed4aaf5a8547990a1cff784c0ed8 inherit pub_methods_class_quant_lib_1_1_forward"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae989359608844a899d202b76c6e3a7c1 inherit pub_methods_class_quant_lib_1_1_forward"><td class="memItemLeft" align="right" valign="top"><a id="ae989359608844a899d202b76c6e3a7c1"></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><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html#ae989359608844a899d202b76c6e3a7c1">incomeDiscountCurve</a> () const</td></tr>
<tr class="memdesc:ae989359608844a899d202b76c6e3a7c1 inherit pub_methods_class_quant_lib_1_1_forward"><td class="mdescLeft"> </td><td class="mdescRight">term structure that discounts the underlying's income cash flows <br /></td></tr>
<tr class="separator:ae989359608844a899d202b76c6e3a7c1 inherit pub_methods_class_quant_lib_1_1_forward"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9ff92ce10912675f05fbda79f9673c58 inherit pub_methods_class_quant_lib_1_1_forward"><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#a9ff92ce10912675f05fbda79f9673c58">forwardValue</a> () const</td></tr>
<tr class="memdesc:a9ff92ce10912675f05fbda79f9673c58 inherit pub_methods_class_quant_lib_1_1_forward"><td class="mdescLeft"> </td><td class="mdescRight">forward value/price of underlying, discounting income/dividends <a href="class_quant_lib_1_1_forward.html#a9ff92ce10912675f05fbda79f9673c58">More...</a><br /></td></tr>
<tr class="separator:a9ff92ce10912675f05fbda79f9673c58 inherit pub_methods_class_quant_lib_1_1_forward"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a639e594493d01a309391da84b2b48f7e inherit pub_methods_class_quant_lib_1_1_forward"><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#a639e594493d01a309391da84b2b48f7e">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#a9ff92ce10912675f05fbda79f9673c58">forwardValue</a>, <a class="el" href="class_quant_lib_1_1_date.html">Date</a> settlementDate, <a class="el" href="namespace_quant_lib.html#a2779d04b4839fd386b5c85bbb96aaf73">Compounding</a> compoundingConvention, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter)</td></tr>
<tr class="separator:a639e594493d01a309391da84b2b48f7e inherit pub_methods_class_quant_lib_1_1_forward"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_instrument"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_instrument')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_instrument.html">Instrument</a></td></tr>
<tr class="memitem:a4f791921f063f3ea19bd6efa9ceb4892 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memItemLeft" align="right" valign="top"><a id="a4f791921f063f3ea19bd6efa9ceb4892"></a>
<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_instrument.html#a4f791921f063f3ea19bd6efa9ceb4892">NPV</a> () const</td></tr>
<tr class="memdesc:a4f791921f063f3ea19bd6efa9ceb4892 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="mdescLeft"> </td><td class="mdescRight">returns the net present value of the instrument. <br /></td></tr>
<tr class="separator:a4f791921f063f3ea19bd6efa9ceb4892 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7f7b2ee66cf1eca0aecb6f1e65549798 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memItemLeft" align="right" valign="top"><a id="a7f7b2ee66cf1eca0aecb6f1e65549798"></a>
<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_instrument.html#a7f7b2ee66cf1eca0aecb6f1e65549798">errorEstimate</a> () const</td></tr>
<tr class="memdesc:a7f7b2ee66cf1eca0aecb6f1e65549798 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="mdescLeft"> </td><td class="mdescRight">returns the error estimate on the NPV when available. <br /></td></tr>
<tr class="separator:a7f7b2ee66cf1eca0aecb6f1e65549798 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:adc5022826bcf557dcfd50578fc6f2cfb inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memItemLeft" align="right" valign="top"><a id="adc5022826bcf557dcfd50578fc6f2cfb"></a>
const <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_instrument.html#adc5022826bcf557dcfd50578fc6f2cfb">valuationDate</a> () const</td></tr>
<tr class="memdesc:adc5022826bcf557dcfd50578fc6f2cfb inherit pub_methods_class_quant_lib_1_1_instrument"><td class="mdescLeft"> </td><td class="mdescRight">returns the date the net present value refers to. <br /></td></tr>
<tr class="separator:adc5022826bcf557dcfd50578fc6f2cfb inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2fe6eb89d1300cf2da682cfb38736d12 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memTemplParams" colspan="2"><a id="a2fe6eb89d1300cf2da682cfb38736d12"></a>
template<typename T > </td></tr>
<tr class="memitem:a2fe6eb89d1300cf2da682cfb38736d12 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memTemplItemLeft" align="right" valign="top">T </td><td class="memTemplItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#a2fe6eb89d1300cf2da682cfb38736d12">result</a> (const std::string &tag) const</td></tr>
<tr class="memdesc:a2fe6eb89d1300cf2da682cfb38736d12 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="mdescLeft"> </td><td class="mdescRight">returns any additional result returned by the pricing engine. <br /></td></tr>
<tr class="separator:a2fe6eb89d1300cf2da682cfb38736d12 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac736d55ac6d6815ec57e44f406546ac0 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memItemLeft" align="right" valign="top"><a id="ac736d55ac6d6815ec57e44f406546ac0"></a>
const std::map< std::string, boost::any > & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#ac736d55ac6d6815ec57e44f406546ac0">additionalResults</a> () const</td></tr>
<tr class="memdesc:ac736d55ac6d6815ec57e44f406546ac0 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="mdescLeft"> </td><td class="mdescRight">returns all additional result returned by the pricing engine. <br /></td></tr>
<tr class="separator:ac736d55ac6d6815ec57e44f406546ac0 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae58e4c75062c7f3f4dedbd744f9a379f inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#ae58e4c75062c7f3f4dedbd744f9a379f">setPricingEngine</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > &)</td></tr>
<tr class="memdesc:ae58e4c75062c7f3f4dedbd744f9a379f inherit pub_methods_class_quant_lib_1_1_instrument"><td class="mdescLeft"> </td><td class="mdescRight">set the pricing engine to be used. <a href="class_quant_lib_1_1_instrument.html#ae58e4c75062c7f3f4dedbd744f9a379f">More...</a><br /></td></tr>
<tr class="separator:ae58e4c75062c7f3f4dedbd744f9a379f inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aedcb8928d5516b30b46f0234d20c9539 inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#aedcb8928d5516b30b46f0234d20c9539">setupArguments</a> (PricingEngine::arguments *) const</td></tr>
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<tr class="memitem:a7992b88ae5ce8f95759515943d0311da inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#a7992b88ae5ce8f95759515943d0311da">fetchResults</a> (const PricingEngine::results *) const</td></tr>
<tr class="separator:a7992b88ae5ce8f95759515943d0311da inherit pub_methods_class_quant_lib_1_1_instrument"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_lazy_object"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_lazy_object')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_lazy_object.html">LazyObject</a></td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
<tr class="separator:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a467a786be42a2165aa15a26709674547 inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#a467a786be42a2165aa15a26709674547">recalculate</a> ()</td></tr>
<tr class="separator:a467a786be42a2165aa15a26709674547 inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abd8698b462ce90fe56b15ce7a0192d3e inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#abd8698b462ce90fe56b15ce7a0192d3e">freeze</a> ()</td></tr>
<tr class="separator:abd8698b462ce90fe56b15ce7a0192d3e inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a26c02da24a82bc72024a8e8d48af0fca inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#a26c02da24a82bc72024a8e8d48af0fca">unfreeze</a> ()</td></tr>
<tr class="separator:a26c02da24a82bc72024a8e8d48af0fca inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2ee394ca135f85485023ce3dc037149c inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lazy_object.html#a2ee394ca135f85485023ce3dc037149c">alwaysForwardNotifications</a> ()</td></tr>
<tr class="separator:a2ee394ca135f85485023ce3dc037149c inherit pub_methods_class_quant_lib_1_1_lazy_object"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<tr class="memitem:a6810b3645967da11d5f5d4804d37bacc inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a6810b3645967da11d5f5d4804d37bacc"></a>
<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<tr class="memitem:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="aa6ade205ed506bf712da2704f80a73a0"></a>
std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
<tr class="separator:aa6ade205ed506bf712da2704f80a73a0 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<tr class="memitem:a4ce7359ad0f73a54dba555be24855804 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a4ce7359ad0f73a54dba555be24855804"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a0c19cb502f3b720b99b176ea6cc7e319"></a>
void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
<tr class="separator:a0c19cb502f3b720b99b176ea6cc7e319 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
<tr class="separator:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="member-group"></a>
Calculations</h2></td></tr>
<tr class="memitem:a37b1d8c236b9c6aa5b638ab7116525c1"><td class="memItemLeft" align="right" valign="top"><a id="a37b1d8c236b9c6aa5b638ab7116525c1"></a>
Position::Type </td><td class="memItemRight" valign="bottom"><b>fraType_</b></td></tr>
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<tr class="memitem:a4f2b17fe2dbe0ad6d82e5390ac162403"><td class="memItemLeft" align="right" valign="top"><a id="a4f2b17fe2dbe0ad6d82e5390ac162403"></a>
<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#a4f2b17fe2dbe0ad6d82e5390ac162403">forwardRate_</a></td></tr>
<tr class="memdesc:a4f2b17fe2dbe0ad6d82e5390ac162403"><td class="mdescLeft"> </td><td class="mdescRight">aka FRA rate (the market forward rate) <br /></td></tr>
<tr class="separator:a4f2b17fe2dbe0ad6d82e5390ac162403"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1d09c6bb42f2e1ad73823bfa1ad6f5b3"><td class="memItemLeft" align="right" valign="top"><a id="a1d09c6bb42f2e1ad73823bfa1ad6f5b3"></a>
<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#a1d09c6bb42f2e1ad73823bfa1ad6f5b3">strikeForwardRate_</a></td></tr>
<tr class="memdesc:a1d09c6bb42f2e1ad73823bfa1ad6f5b3"><td class="mdescLeft"> </td><td class="mdescRight">aka FRA fixing rate, contract rate <br /></td></tr>
<tr class="separator:a1d09c6bb42f2e1ad73823bfa1ad6f5b3"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a0791bd889954caaaf829a9e5afc95a19"><td class="memItemLeft" align="right" valign="top"><a id="a0791bd889954caaaf829a9e5afc95a19"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>notionalAmount_</b></td></tr>
<tr class="separator:a0791bd889954caaaf829a9e5afc95a19"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:affe7512dd36a9cd45f3cdd1d7094943b"><td class="memItemLeft" align="right" valign="top"><a id="affe7512dd36a9cd45f3cdd1d7094943b"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > </td><td class="memItemRight" valign="bottom"><b>index_</b></td></tr>
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<tr class="memitem:a987644df60aa54e4819c77bf8d71581f"><td class="memItemLeft" align="right" valign="top"><a id="a987644df60aa54e4819c77bf8d71581f"></a>
bool </td><td class="memItemRight" valign="bottom"><b>useIndexedCoupon_</b></td></tr>
<tr class="separator:a987644df60aa54e4819c77bf8d71581f"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a72b04552f657bbfa9384c3c6139a7725"><td class="memItemLeft" align="right" valign="top">bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#a72b04552f657bbfa9384c3c6139a7725">isExpired</a> () const</td></tr>
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<tr class="memitem:ac64e9810c0bd1cbee8425476db0bb58d"><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_rate_agreement.html#ac64e9810c0bd1cbee8425476db0bb58d">settlementDate</a> () const</td></tr>
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<tr class="memitem:a0e1764cdfb463035dfea94da6500bf84"><td class="memItemLeft" align="right" valign="top"><a id="a0e1764cdfb463035dfea94da6500bf84"></a>
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>fixingDate</b> () const</td></tr>
<tr class="separator:a0e1764cdfb463035dfea94da6500bf84"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af17ea9c23961db17b0c901c96854c839"><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_rate_agreement.html#af17ea9c23961db17b0c901c96854c839">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#ae989359608844a899d202b76c6e3a7c1">incomeDiscountCurve</a>) const</td></tr>
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<tr class="memitem:a2bb5d56364044aa5899a663ba84e92a3"><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_rate_agreement.html#a2bb5d56364044aa5899a663ba84e92a3">spotValue</a> () const</td></tr>
<tr class="memdesc:a2bb5d56364044aa5899a663ba84e92a3"><td class="mdescLeft"> </td><td class="mdescRight">Spot value (NPV) of the underlying loan. <a href="class_quant_lib_1_1_forward_rate_agreement.html#a2bb5d56364044aa5899a663ba84e92a3">More...</a><br /></td></tr>
<tr class="separator:a2bb5d56364044aa5899a663ba84e92a3"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af83c055c629943801ac2df90d61a6d98"><td class="memItemLeft" align="right" valign="top"><a id="af83c055c629943801ac2df90d61a6d98"></a>
<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#af83c055c629943801ac2df90d61a6d98">forwardRate</a> () const</td></tr>
<tr class="memdesc:af83c055c629943801ac2df90d61a6d98"><td class="mdescLeft"> </td><td class="mdescRight">Returns the relevant forward rate associated with the FRA term. <br /></td></tr>
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<tr class="memitem:aef24082dd24f1330f587e552a7dc4f69"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#aef24082dd24f1330f587e552a7dc4f69">setupExpired</a> () const</td></tr>
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<tr class="memitem:a33f04fb3ac37abe7c9c6032cff611745"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#a33f04fb3ac37abe7c9c6032cff611745">performCalculations</a> () const</td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
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<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
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 </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 ext::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#a4b9eed4aaf5a8547990a1cff784c0ed8">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>
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<tr class="memitem:a082ff96da379d5e17436372ccb3c0972 inherit pro_methods_class_quant_lib_1_1_instrument"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#a082ff96da379d5e17436372ccb3c0972">calculate</a> () const</td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_forward"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_forward')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_forward.html">Forward</a></td></tr>
<tr class="memitem:ade985afc594074c269371cc442f3c9b2 inherit pro_attribs_class_quant_lib_1_1_forward"><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>
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<tr class="memitem:a1269c585e5e0bd28fb36d1fde51ddfc3 inherit pro_attribs_class_quant_lib_1_1_forward"><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>
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<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>
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<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><b>calendar_</b></td></tr>
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<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>businessDayConvention_</b></td></tr>
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<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td><td class="memItemRight" valign="bottom"><b>settlementDays_</b></td></tr>
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ext::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>
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<tr class="memitem:aebe1ee9fe8c4edd97894a5caec6cf370 inherit pro_attribs_class_quant_lib_1_1_forward"><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>
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<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 class="memdesc:adca7c976b55e7bb2a6bf5ed335081100 inherit pro_attribs_class_quant_lib_1_1_forward"><td class="mdescLeft"> </td><td class="mdescRight">maturityDate of the forward contract or delivery date of underlying <br /></td></tr>
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<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>
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<tr class="memitem:abb995b099094913d099029f2fd3936b8 inherit pro_attribs_class_quant_lib_1_1_instrument"><td class="memItemLeft" align="right" valign="top"><a id="abb995b099094913d099029f2fd3936b8"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>NPV_</b></td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>errorEstimate_</b></td></tr>
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<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>valuationDate_</b></td></tr>
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std::map< std::string, boost::any > </td><td class="memItemRight" valign="bottom"><b>additionalResults_</b></td></tr>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > </td><td class="memItemRight" valign="bottom"><b>engine_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>calculated_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>frozen_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>alwaysForward_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Forward rate agreement (FRA) class </p>
<ol type="1">
<li>Unlike the forward contract conventions on carryable financial assets (stocks, bonds, commodities), the valueDate for a FRA is taken to be the day when 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 when 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</li>
<li>Choose position type = Long for an "FRA purchase" (future long loan, short deposit [borrower])</li>
<li>Choose position type = Short for an "FRA sale" (future short loan, long deposit [lender])</li>
<li>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#a4f791921f063f3ea19bd6efa9ceb4892" title="returns the net present value of the instrument.">NPV()</a>.</li>
<li>If forward rate is desired/unknown, it can be obtained via <a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html#af83c055c629943801ac2df90d61a6d98" title="Returns the relevant forward rate associated with the FRA term.">forwardRate()</a>. In this case, the strike variable in the constructor is irrelevant and will be ignored.</li>
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<p><b>Example: </b> <a class="el" href="_f_r_a_8cpp-example.html">valuation of a forward-rate agreement </a></p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000070">Warning:</a></b></dt><dd>This class still needs to be rigorously tested</dd></dl>
<dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_f_r_a_8cpp-example.html#_a16">FRA.cpp</a>.</dd>
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</div><h2 class="groupheader">Member Function Documentation</h2>
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<h2 class="memtitle"><span class="permalink"><a href="#a72b04552f657bbfa9384c3c6139a7725">◆ </a></span>isExpired()</h2>
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<p>A FRA expires/settles on the valueDate </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_forward.html#a72b04552f657bbfa9384c3c6139a7725">Forward</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#ac64e9810c0bd1cbee8425476db0bb58d">◆ </a></span>settlementDate()</h2>
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<td class="memname"><a class="el" href="class_quant_lib_1_1_date.html">Date</a> settlementDate </td>
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<p>This returns evaluationDate + settlementDays (not FRA valueDate). </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_forward.html">Forward</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#af17ea9c23961db17b0c901c96854c839">◆ </a></span>spotIncome()</h2>
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<td class="memname"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> spotIncome </td>
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<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>
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<p>Income is zero for a FRA </p>
<p>Implements <a class="el" href="class_quant_lib_1_1_forward.html#a789981beda42e02c2698dee83d077a1d">Forward</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#a2bb5d56364044aa5899a663ba84e92a3">◆ </a></span>spotValue()</h2>
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<p>Spot value (NPV) of the underlying loan. </p>
<p>This has always a positive value (asset), even if short the FRA </p>
<p>Implements <a class="el" href="class_quant_lib_1_1_forward.html#a0304e7ed8b1277b01dd0a094102ddbce">Forward</a>.</p>
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<h2 class="memtitle"><span class="permalink"><a href="#aef24082dd24f1330f587e552a7dc4f69">◆ </a></span>setupExpired()</h2>
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<td class="memname">void setupExpired </td>
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<p>This method must leave the instrument in a consistent state when the expiration condition is met. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#aef24082dd24f1330f587e552a7dc4f69">Instrument</a>.</p>
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<a id="a33f04fb3ac37abe7c9c6032cff611745"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a33f04fb3ac37abe7c9c6032cff611745">◆ </a></span>performCalculations()</h2>
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<td class="memname">void performCalculations </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_forward.html#a33f04fb3ac37abe7c9c6032cff611745">Forward</a>.</p>
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