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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Allen Kuo
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file forwardrateagreement.hpp
\brief forward rate agreement
*/
#ifndef quantlib_forward_rate_agreement_hpp
#define quantlib_forward_rate_agreement_hpp
#include <ql/instruments/forward.hpp>
namespace QuantLib {
class IborIndex;
QL_DEPRECATED_DISABLE_WARNING
//! %Forward rate agreement (FRA) class
/*! 1. 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
2. Choose position type = Long for an "FRA purchase" (future
long loan, short deposit [borrower])
3. Choose position type = Short for an "FRA sale" (future short
loan, long deposit [lender])
<b>Example: </b>
\link FRA.cpp
valuation of a forward-rate agreement
\endlink
\todo Add preconditions and tests
\todo Differentiate between BBA (British)/AFB (French)
[assumed here] and ABA (Australian) banker conventions
in the calculations.
\warning This class still needs to be rigorously tested
\ingroup instruments
*/
class ForwardRateAgreement: public Instrument {
public:
ForwardRateAgreement(
const Date& valueDate,
const Date& maturityDate,
Position::Type type,
Rate strikeForwardRate,
Real notionalAmount,
const ext::shared_ptr<IborIndex>& index,
Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>(),
bool useIndexedCoupon = true);
ForwardRateAgreement(
const Date& valueDate,
Position::Type type,
Rate strikeForwardRate,
Real notionalAmount,
const ext::shared_ptr<IborIndex>& index,
Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>());
//! \name Calculations
//@{
//! A FRA expires/settles on the value date
bool isExpired() const override;
//! The payoff on the value date
Real amount() const;
/*! \deprecated This used to be inherited from Forward, but it's not correct for FRAs.
Deprecated in version 1.25.
*/
QL_DEPRECATED
Date settlementDate() const;
const Calendar& calendar() const;
BusinessDayConvention businessDayConvention() const;
const DayCounter& dayCounter() const;
//! term structure relevant to the contract (e.g. repo curve)
Handle<YieldTermStructure> discountCurve() const;
/*! \deprecated This used to be inherited from Forward, but it doesn't make sense for FRAs.
Deprecated in version 1.25.
*/
QL_DEPRECATED
Handle<YieldTermStructure> incomeDiscountCurve() const;
Date fixingDate() const;
/*! \deprecated This used to be inherited from Forward, but it doesn't make sense for FRAs.
Deprecated in version 1.25.
*/
QL_DEPRECATED
Real spotIncome(const Handle<YieldTermStructure>& incomeDiscountCurve) const;
/*! \deprecated This used to be inherited from Forward, but it doesn't make sense for FRAs.
Deprecated in version 1.25.
*/
QL_DEPRECATED
Real spotValue() const;
//! Returns the relevant forward rate associated with the FRA term
InterestRate forwardRate() const;
/*! \deprecated This used to be inherited from Forward, but it doesn't make sense for FRAs.
Deprecated in version 1.25.
*/
QL_DEPRECATED
InterestRate impliedYield(Real underlyingSpotValue,
Real forwardValue,
Date settlementDate,
Compounding compoundingConvention,
const DayCounter& dayCounter);
/*! \deprecated This used to be inherited from Forward, but it doesn't make sense for FRAs.
Deprecated in version 1.25.
*/
QL_DEPRECATED
virtual Real forwardValue() const;
//@}
protected:
void setupExpired() const override;
void performCalculations() const override;
Position::Type fraType_;
//! aka FRA rate (the market forward rate)
mutable InterestRate forwardRate_;
//! aka FRA fixing rate, contract rate
InterestRate strikeForwardRate_;
Real notionalAmount_;
ext::shared_ptr<IborIndex> index_;
bool useIndexedCoupon_;
/*! \deprecated This used to be inherited from Forward, but it doesn't make sense for FRAs.
Deprecated in version 1.25.
*/
QL_DEPRECATED
mutable Real underlyingIncome_;
/*! \deprecated This used to be inherited from Forward, but it doesn't make sense for FRAs.
Deprecated in version 1.25.
*/
QL_DEPRECATED
mutable Real underlyingSpotValue_;
DayCounter dayCounter_;
Calendar calendar_;
BusinessDayConvention businessDayConvention_;
/*! \deprecated This used to be inherited from Forward, but it doesn't make sense for FRAs.
Deprecated in version 1.25.
*/
QL_DEPRECATED
Natural settlementDays_;
/*! \deprecated This used to be inherited from Forward, but it doesn't make sense for FRAs.
Deprecated in version 1.25.
*/
QL_DEPRECATED
ext::shared_ptr<Payoff> payoff_;
//! the valueDate is the date the underlying index starts accruing and the FRA is settled.
Date valueDate_;
//! maturityDate of the underlying index; not the date the FRA is settled.
Date maturityDate_;
Handle<YieldTermStructure> discountCurve_;
/*! \deprecated This used to be inherited from Forward, but it doesn't make sense for FRAs.
Deprecated in version 1.25.
*/
QL_DEPRECATED
Handle<YieldTermStructure> incomeDiscountCurve_;
private:
void calculateForwardRate() const;
void calculateAmount() const;
mutable Real amount_;
};
QL_DEPRECATED_ENABLE_WARNING
inline const Calendar& ForwardRateAgreement::calendar() const { return calendar_; }
inline BusinessDayConvention ForwardRateAgreement::businessDayConvention() const {
return businessDayConvention_;
}
inline const DayCounter& ForwardRateAgreement::dayCounter() const { return dayCounter_; }
inline Handle<YieldTermStructure> ForwardRateAgreement::discountCurve() const {
return discountCurve_;
}
inline Handle<YieldTermStructure> ForwardRateAgreement::incomeDiscountCurve() const {
QL_DEPRECATED_DISABLE_WARNING
return incomeDiscountCurve_;
QL_DEPRECATED_ENABLE_WARNING
}
}
#endif
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