QuantLib: BondForward Class Reference

Forward contract on a bond More...

#include <ql/instruments/bondforward.hpp>

Inheritance diagram for BondForward:

Public Member Functions
Constructors
	BondForward (const Date &valueDate, const Date &maturityDate, Position::Type type, Real strike, Natural settlementDays, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, const ext::shared_ptr< Bond > &bond, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &incomeDiscountCurve=Handle< YieldTermStructure >())
Public Member Functions inherited from Forward
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 override
	returns whether the instrument is still tradable.
virtual Real	forwardValue () const
	forward value/price of underlying, discounting income/dividends
InterestRate	impliedYield (Real underlyingSpotValue, Real forwardValue, Date settlementDate, Compounding compoundingConvention, const DayCounter &dayCounter)
Public Member Functions inherited from Instrument
Real	NPV () const
	returns the net present value of the instrument.
Real	errorEstimate () const
	returns the error estimate on the NPV when available.
const Date &	valuationDate () const
	returns the date the net present value refers to.
template<typename T>
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.
const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used.
virtual void	setupArguments (PricingEngine::arguments *) const
virtual void	fetchResults (const PricingEngine::results *) const
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Calculations
ext::shared_ptr< Bond >	bond_
Real	forwardPrice () const
	(dirty) forward bond price
Real	cleanForwardPrice () const
	(dirty) forward bond price minus accrued on bond at delivery
Real	spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const override
	NPV of bond coupons discounted using incomeDiscountCurve.
Real	spotValue () const override
	NPV of underlying bond.
void	performCalculations () const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
	Forward (DayCounter dayCounter, Calendar calendar, BusinessDayConvention businessDayConvention, Natural settlementDays, ext::shared_ptr< Payoff > payoff, const Date &valueDate, const Date &maturityDate, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >())
void	performCalculations () const override
Protected Member Functions inherited from Instrument
void	calculate () const override
virtual void	setupExpired () const
void	performCalculations () const override
Real	underlyingIncome_
Real	underlyingSpotValue_
DayCounter	dayCounter_
Calendar	calendar_
BusinessDayConvention	businessDayConvention_
Natural	settlementDays_
ext::shared_ptr< Payoff >	payoff_
Date	valueDate_
Date	maturityDate_
	maturityDate of the forward contract or delivery date of underlying
Handle< YieldTermStructure >	discountCurve_
Handle< YieldTermStructure >	incomeDiscountCurve_
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, ext::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Forward contract on a bond

valueDate refers to the settlement date of the bond forward contract. maturityDate is the delivery (or repurchase) date for the underlying bond (not the bond's maturity date).
Relevant formulas used in the calculations ( \(P\) refers to a price):

a. \( P_{CleanFwd}(t) = P_{DirtyFwd}(t) - AI(t=deliveryDate) \) where \( AI \) refers to the accrued interest on the underlying bond.

b. \( P_{DirtyFwd}(t) = \frac{P_{DirtySpot}(t) - SpotIncome(t)} {discountCurve->discount(t=deliveryDate)} \)

c. \( SpotIncome(t) = \sum_i \left( CF_i \times incomeDiscountCurve->discount(t_i) \right) \) where \( CF_i \) represents the ith bond cash flow (coupon payment) associated with the underlying bond falling between the settlementDate and the deliveryDate. (Note the two different discount curves used in b. and c.)

Warning
This class still needs to be rigorously tested

Examples: Repo.cpp.

Constructor & Destructor Documentation

◆ BondForward()

BondForward	(	const Date &	valueDate,
		const Date &	maturityDate,
		Position::Type	type,
		Real	strike,
		Natural	settlementDays,
		const DayCounter &	dayCounter,
		const Calendar &	calendar,
		BusinessDayConvention	businessDayConvention,
		const ext::shared_ptr< Bond > &	bond,
		const Handle< YieldTermStructure > &	discountCurve = Handle< YieldTermStructure >(),
		const Handle< YieldTermStructure > &	incomeDiscountCurve = Handle< YieldTermStructure >() )

If strike is given in the constructor, can calculate the NPV of the contract via NPV().

If strike/forward price is desired, it can be obtained via forwardPrice(). In this case, the strike variable in the constructor is irrelevant and will be ignored.

Member Function Documentation

◆ spotIncome()

Real spotIncome ( const Handle< YieldTermStructure > & incomeDiscountCurve ) const

overridevirtual

NPV of bond coupons discounted using incomeDiscountCurve.

Here only coupons between max(evaluation date,settlement date) and maturity date of bond forward contract are considered income.

Implements Forward.

Examples: Repo.cpp.

◆ spotValue()

Real spotValue ( ) const

overridevirtual

NPV of underlying bond.

Implements Forward.

◆ performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Public Member Functions

Calculations