ForwardRateAgreement Class Reference

Forward rate agreement (FRA) class More...

#include <ql/instruments/forwardrateagreement.hpp>

Inheritance diagram for ForwardRateAgreement:

Public Member Functions
	ForwardRateAgreement (const ext::shared_ptr< IborIndex > &index, const Date &valueDate, Position::Type type, Rate strikeForwardRate, Real notionalAmount, Handle< YieldTermStructure > discountCurve={})
	ForwardRateAgreement (const ext::shared_ptr< IborIndex > &index, const Date &valueDate, const Date &maturityDate, Position::Type type, Rate strikeForwardRate, Real notionalAmount, Handle< YieldTermStructure > discountCurve={})
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
Position::Type	fraType_
InterestRate	forwardRate_
	aka FRA rate (the market forward rate)
InterestRate	strikeForwardRate_
	aka FRA fixing rate, contract rate
Real	notionalAmount_
ext::shared_ptr< IborIndex >	index_
bool	useIndexedCoupon_
DayCounter	dayCounter_
Calendar	calendar_
BusinessDayConvention	businessDayConvention_
Date	valueDate_
	the valueDate is the date the underlying index starts accruing and the FRA is settled.
Date	maturityDate_
	maturityDate of the underlying index; not the date the FRA is settled.
Handle< YieldTermStructure >	discountCurve_
bool	isExpired () const override
	A FRA expires/settles on the value date.
Real	amount () const
	The payoff on the value date.
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)
Date	fixingDate () const
InterestRate	forwardRate () const
	Returns the relevant forward rate associated with the FRA term.
void	setupExpired () const override
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
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

Forward rate agreement (FRA) class

1. Unlike the forward contract conventions on carryable financial assets (stocks, bonds, commodities), the valueDate for a FRA is taken to be the day when the forward loan or deposit begins and when full settlement takes place (based on the NPV of the contract on that date). maturityDate is the date when the forward loan or deposit ends. In fact, the FRA settles and expires on the valueDate, not on the (later) maturityDate. It follows that (maturityDate - valueDate) is the tenor/term of the underlying loan or deposit
2. Choose position type = Long for an "FRA purchase" (future long loan, short deposit [borrower])
3. Choose position type = Short for an "FRA sale" (future short loan, long deposit [lender])

Example: valuation of a forward-rate agreement

Warning

This class still needs to be rigorously tested

Examples

FRA.cpp.

Constructor & Destructor Documentation

ForwardRateAgreement() [1/2]

ForwardRateAgreement	(	const ext::shared_ptr< IborIndex > &	index,
		const Date &	valueDate,
		Position::Type	type,
		Rate	strikeForwardRate,
		Real	notionalAmount,
		Handle< YieldTermStructure >	discountCurve = {} )

When using this constructor, the forward rate will be forecast by the passed index. This corresponds to useIndexedCoupon=true in the FraRateHelper class.

ForwardRateAgreement() [2/2]

ForwardRateAgreement	(	const ext::shared_ptr< IborIndex > &	index,
		const Date &	valueDate,
		const Date &	maturityDate,
		Position::Type	type,
		Rate	strikeForwardRate,
		Real	notionalAmount,
		Handle< YieldTermStructure >	discountCurve = {} )

When using this constructor, a par-rate approximation will be used, i.e., the forward rate will be forecast from value date to maturity date by the forecast curve contained in the index. This corresponds to useIndexedCoupon=false in the FraRateHelper class.

Member Function Documentation

isExpired()

bool isExpired ( ) const

overridevirtual

A FRA expires/settles on the value date.

Implements Instrument.

setupExpired()

void setupExpired ( ) const

overrideprotectedvirtual

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

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.