Forward Class Reference
[Financial instruments]
#include <ql/instruments/forward.hpp>
Inheritance diagram for Forward:

Detailed Description
Abstract base forward class.Derived classes must implement the virtual functions spotValue() (NPV or spot price) and spotIncome() 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 performCalculations() in the derived class before the base-class implementation is called.
spotIncome() refers generically to the present value of coupons, dividends or storage costs.
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.
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.
- Todo:
- Add preconditions and tests
- Warning:
- This class still needs to be rigorously tested
Public Member Functions | |
virtual Real | spotValue () const=0 |
returns spot value/price of an underlying financial instrument | |
virtual Real | spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const=0 |
NPV of income/dividends/storage-costs etc. of underlying instrument. | |
Inspectors | |
virtual Date | settlementDate () const |
const Calendar & | calendar () const |
BusinessDayConvention | businessDayConvention () const |
const DayCounter & | dayCounter () const |
Handle< YieldTermStructure > | discountCurve () const |
term structure relevant to the contract (e.g. repo curve) | |
Handle< YieldTermStructure > | incomeDiscountCurve () const |
term structure that discounts the underlying's income cash flows | |
bool | isExpired () const |
returns whether the instrument is still tradable. | |
Calculations | |
virtual Real | forwardValue () const |
forward value/price of underlying, discounting income/dividends | |
InterestRate | impliedYield (Real underlyingSpotValue, Real forwardValue, Date settlementDate, Compounding compoundingConvention, DayCounter dayCounter) |
Protected Member Functions | |
Forward (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 >()) | |
void | performCalculations () const |
Protected Attributes | |
Real | underlyingIncome_ |
Real | underlyingSpotValue_ |
DayCounter | dayCounter_ |
Calendar | calendar_ |
BusinessDayConvention | businessDayConvention_ |
Natural | settlementDays_ |
boost::shared_ptr< Payoff > | payoff_ |
Date | valueDate_ |
Date | maturityDate_ |
maturityDate of the forward contract or delivery date of underlying | |
Handle< YieldTermStructure > | discountCurve_ |
Handle< YieldTermStructure > | incomeDiscountCurve_ |
Member Function Documentation
virtual Real forwardValue | ( | ) | const [virtual] |
forward value/price of underlying, discounting income/dividends
- Note:
- if this is a bond forward price, is must be a dirty forward price.
InterestRate impliedYield | ( | Real | underlyingSpotValue, | |
Real | forwardValue, | |||
Date | settlementDate, | |||
Compounding | compoundingConvention, | |||
DayCounter | dayCounter | |||
) |
Simple yield calculation based on underlying spot and forward values, taking into account underlying income. When , call with: underlyingSpotValue=spotValue(t), forwardValue=strikePrice, to get current yield. For a repo, if
, impliedYield should reproduce the spot repo rate. For FRA's, this should reproduce the relevant zero rate at the FRA's maturityDate_;
void performCalculations | ( | ) | const [protected, virtual] |
In case a pricing engine is not 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.
Reimplemented from Instrument.
Reimplemented in FixedRateBondForward, and ForwardRateAgreement.
Member Data Documentation
Real underlyingIncome_ [mutable, protected] |
derived classes must set this, typically via spotIncome()
Real underlyingSpotValue_ [mutable, protected] |
derived classes must set this, typically via spotValue()
Date valueDate_ [protected] |
valueDate = settlement date (date the fwd contract starts accruing)
Handle<YieldTermStructure> incomeDiscountCurve_ [protected] |
must set this in derived classes, based on particular underlying