QuantLib: Forward Class Reference

Abstract base forward class. More...

#include <ql/instruments/forward.hpp>

Inheritance diagram for Forward:

Public Member Functions
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 override
	returns whether the instrument is still tradable.
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.
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
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_
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)
	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

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from Instrument
void	calculate () const override
virtual void	setupExpired () const
void	performCalculations () const override
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

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.

Warning: This class still needs to be rigorously tested

Member Function Documentation

◆ isExpired()

bool isExpired ( ) const

overridevirtual

returns whether the instrument is still tradable.

Implements Instrument.

◆ spotValue()

virtual Real spotValue ( ) const

pure virtual

returns spot value/price of an underlying financial instrument

Implemented in BondForward.

◆ spotIncome()

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

pure virtual

NPV of income/dividends/storage-costs etc. of underlying instrument.

Implemented in BondForward.

◆ forwardValue()

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.

◆ impliedYield()

InterestRate impliedYield	(	Real	underlyingSpotValue,
		Real	forwardValue,
		Date	settlementDate,
		Compounding	compoundingConvention,
		const DayCounter &	dayCounter )

Simple yield calculation based on underlying spot and forward values, taking into account underlying income. When \( t>0 \), call with: underlyingSpotValue=spotValue(t), forwardValue=strikePrice, to get current yield. For a repo, if \( t=0 \), impliedYield should reproduce the spot repo rate. For FRA's, this should reproduce the relevant zero rate at the FRA's maturityDate_;

Examples: Repo.cpp.

◆ 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.

Member Data Documentation

◆ underlyingIncome_

Real underlyingIncome_

mutableprotected

derived classes must set this, typically via spotIncome()

◆ underlyingSpotValue_

Real underlyingSpotValue_

mutableprotected

derived classes must set this, typically via spotValue()

◆ valueDate_

Date valueDate_

protected

valueDate = settlement date (date the fwd contract starts accruing)

◆ incomeDiscountCurve_

Handle<YieldTermStructure> incomeDiscountCurve_