PerpetualFutures Class Reference

Perpetual Futures. More...

#include <ql/instruments/perpetualfutures.hpp>

Inheritance diagram for PerpetualFutures:

Classes
class	arguments
	Arguments for perpetual futures calculation More...
class	engine
	Perpetual futures engine base class More...

Public Types
enum	PayoffType { Linear , Inverse , Quanto }
enum	FundingType { FundingWithPreviousSpot , FundingWithCurrentSpot }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	PerpetualFutures (PerpetualFutures::PayoffType payoffType, PerpetualFutures::FundingType fundingType=PerpetualFutures::FundingWithCurrentSpot, Period fundingFrequency=Period(8, Hours), Calendar cal=NullCalendar(), DayCounter dc=ActualActual(ActualActual::ISDA))
bool	isExpired () const override
	returns whether the instrument might have value greater than zero.
void	setupArguments (PricingEngine::arguments *) const override
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	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 ()

Additional Inherited Members
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

Perpetual Futures.

PayoffType is:

• Linear: underlying is FOR/DOM pair and margin and settlement are done in DOM;
• Inverse: underlying is FOR/DOM pair and margin and settlement are done in FOR;
• Quanto: underlying is FOR/DOM pair and margin and settlement are done in Quanto currency;

FundingType is:

• FundingWithPreviousSpot: (cashflow at day t+1) = f_t+1 - f_t - fr_t * (f_t - x_t) - i_diff_t * x_t;
• FundingWithCurrentSpot: (cashflow at day t+1) = f_t+1 - f_t - fr_t * x_t+1 * (f_t - x_t)/x_t - i_diff_t * x_t+1; where x_t, f_t, fr_t and i_diff_t are a spot and a future price, a funding rate, an interest rate differential at t.

fundingFrequency:

• 0 length: Continuous
• otherwise: Discrete

For more details, refer to Perpetual Futures Pricing, Damien Ackerer, Julien Hugonnier, Urban Jermann, 2024 https://finance.wharton.upenn.edu/~jermann/AHJ-main-10.pdf

Member Function Documentation

isExpired()

bool isExpired ( ) const

overridevirtual

returns whether the instrument might have value greater than zero.

Implements Instrument.

setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

overridevirtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.