Forward Class Reference
Abstract base forward class. More...
#include <ql/instruments/forward.hpp>

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_ |
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.
- Possible enhancements:
- Add preconditions and tests
- Warning:
- This class still needs to be rigorously tested
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.
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