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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
<https://www.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.
*/
#include <ql/event.hpp>
#include <ql/instruments/forward.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
namespace QuantLib {
Forward::Forward(DayCounter dayCounter,
Calendar calendar,
BusinessDayConvention businessDayConvention,
Natural settlementDays,
ext::shared_ptr<Payoff> payoff,
const Date& valueDate,
const Date& maturityDate,
Handle<YieldTermStructure> discountCurve)
: dayCounter_(std::move(dayCounter)), calendar_(std::move(calendar)),
businessDayConvention_(businessDayConvention), settlementDays_(settlementDays),
payoff_(std::move(payoff)), valueDate_(valueDate), maturityDate_(maturityDate),
discountCurve_(std::move(discountCurve)) {
maturityDate_ = calendar_.adjust(maturityDate_,
businessDayConvention_);
registerWith(Settings::instance().evaluationDate());
registerWith(discountCurve_);
}
Date Forward::settlementDate() const {
Date d = calendar_.advance(Settings::instance().evaluationDate(),
settlementDays_, Days);
return std::max(d,valueDate_);
}
bool Forward::isExpired() const {
return detail::simple_event(maturityDate_)
.hasOccurred(settlementDate());
}
Real Forward::forwardValue() const {
calculate();
return (underlyingSpotValue_ - underlyingIncome_ )/
discountCurve_->discount(maturityDate_);
}
InterestRate Forward::impliedYield(Real underlyingSpotValue,
Real forwardValue,
Date settlementDate,
Compounding comp,
const DayCounter& dayCounter) {
Time t = dayCounter.yearFraction(settlementDate,maturityDate_) ;
Real compoundingFactor = forwardValue/
(underlyingSpotValue-spotIncome(incomeDiscountCurve_)) ;
return InterestRate::impliedRate(compoundingFactor,
dayCounter, comp, Annual,
t);
}
void Forward::performCalculations() const {
QL_REQUIRE(!discountCurve_.empty(),
"null term structure set to Forward");
ext::shared_ptr<ForwardTypePayoff> ftpayoff =
ext::dynamic_pointer_cast<ForwardTypePayoff>(payoff_);
Real fwdValue = forwardValue();
NPV_ = (*ftpayoff)(fwdValue) * discountCurve_->discount(maturityDate_);
}
}
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