QuantLib: ForwardRateAgreement Class Reference

Forward rate agreement (FRA) class More...

#include <forwardrateagreement.hpp>

Inheritance diagram for ForwardRateAgreement:

Collaboration 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
	Instrument ()

Real	NPV () const
	returns the net present value of the instrument. More...

Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...

const Date &	valuationDate () const
	returns the date the net present value refers to. More...

template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...

const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...

void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...

virtual void	setupArguments (PricingEngine::arguments *) const

virtual void	fetchResults (const PricingEngine::results *) const

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

void	update () override

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Public Member Functions inherited from Observable
	Observable ()=default

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~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	update ()=0

virtual void	deepUpdate ()

Calculations
Position::Type	fraType_

InterestRate	forwardRate_
	aka FRA rate (the market forward rate) More...

InterestRate	strikeForwardRate_
	aka FRA fixing rate, contract rate More...

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. More...

Date	maturityDate_
	maturityDate of the underlying index; not the date the FRA is settled. More...

Handle< YieldTermStructure >	discountCurve_

Real	amount_

bool	isExpired () const override
	A FRA expires/settles on the value date. More...

Real	amount () const
	The payoff on the value date. More...

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) More...

Date	fixingDate () const

InterestRate	forwardRate () const
	Returns the relevant forward rate associated with the FRA term. More...

void	setupExpired () const override

void	performCalculations () const override

void	calculateForwardRate () const

void	calculateAmount () const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from Instrument
void	calculate () const override

Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Instrument
Real	NPV_

Real	errorEstimate_

Date	valuationDate_

std::map< std::string, ext::any >	additionalResults_

ext::shared_ptr< PricingEngine >	engine_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

Forward rate agreement (FRA) class

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
Choose position type = Long for an "FRA purchase" (future long loan, short deposit [borrower])
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.

Definition at line 66 of file forwardrateagreement.hpp.

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.

Definition at line 28 of file forwardrateagreement.cpp.

◆ 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.

Definition at line 39 of file forwardrateagreement.cpp.

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Member Function Documentation

◆ isExpired()

bool isExpired ( ) const

overridevirtual

A FRA expires/settles on the value date.

Implements Instrument.

Definition at line 70 of file forwardrateagreement.cpp.

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◆ amount()

Real amount ( ) const

The payoff on the value date.

Examples: FRA.cpp.

Definition at line 74 of file forwardrateagreement.cpp.

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◆ calendar()

const Calendar & calendar ( ) const

Definition at line 142 of file forwardrateagreement.hpp.

◆ businessDayConvention()

BusinessDayConvention businessDayConvention ( ) const

Definition at line 144 of file forwardrateagreement.hpp.

◆ dayCounter()

const DayCounter & dayCounter ( ) const

Definition at line 148 of file forwardrateagreement.hpp.

◆ discountCurve()

Handle< YieldTermStructure > discountCurve ( ) const

term structure relevant to the contract (e.g. repo curve)

Definition at line 150 of file forwardrateagreement.hpp.

◆ fixingDate()

Date fixingDate ( ) const

Definition at line 66 of file forwardrateagreement.cpp.

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◆ forwardRate()

InterestRate forwardRate ( ) const

Returns the relevant forward rate associated with the FRA term.

Examples: FRA.cpp.

Definition at line 79 of file forwardrateagreement.cpp.

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◆ setupExpired()

void setupExpired ( ) const

overrideprotectedvirtual

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

Reimplemented from Instrument.

Definition at line 84 of file forwardrateagreement.cpp.

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◆ performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

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.

Definition at line 89 of file forwardrateagreement.cpp.

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◆ calculateForwardRate()

void calculateForwardRate ( ) const

private

Definition at line 96 of file forwardrateagreement.cpp.

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◆ calculateAmount()

void calculateAmount ( ) const

private

Definition at line 110 of file forwardrateagreement.cpp.

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Member Data Documentation

◆ fraType_

Position::Type fraType_

protected

Definition at line 117 of file forwardrateagreement.hpp.

◆ forwardRate_

InterestRate forwardRate_

mutableprotected

aka FRA rate (the market forward rate)

Definition at line 119 of file forwardrateagreement.hpp.

◆ strikeForwardRate_

InterestRate strikeForwardRate_

protected

aka FRA fixing rate, contract rate

Definition at line 121 of file forwardrateagreement.hpp.

◆ notionalAmount_

Real notionalAmount_

protected

Definition at line 122 of file forwardrateagreement.hpp.

◆ index_

ext::shared_ptr<IborIndex> index_

protected

Definition at line 123 of file forwardrateagreement.hpp.

◆ useIndexedCoupon_

bool useIndexedCoupon_

protected

Definition at line 124 of file forwardrateagreement.hpp.

◆ dayCounter_

DayCounter dayCounter_

protected

Definition at line 126 of file forwardrateagreement.hpp.

◆ calendar_

Calendar calendar_

protected

Definition at line 127 of file forwardrateagreement.hpp.

◆ businessDayConvention_

BusinessDayConvention businessDayConvention_

protected

Definition at line 128 of file forwardrateagreement.hpp.

◆ valueDate_

Date valueDate_

protected

the valueDate is the date the underlying index starts accruing and the FRA is settled.

Definition at line 131 of file forwardrateagreement.hpp.

◆ maturityDate_

Date maturityDate_

protected

maturityDate of the underlying index; not the date the FRA is settled.

Definition at line 133 of file forwardrateagreement.hpp.

◆ discountCurve_

Handle<YieldTermStructure> discountCurve_

protected

Definition at line 134 of file forwardrateagreement.hpp.

◆ amount_

Real amount_

mutableprivate

Definition at line 139 of file forwardrateagreement.hpp.

Public Member Functions

Calculations

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ ForwardRateAgreement() [1/2]

◆ ForwardRateAgreement() [2/2]

Member Function Documentation

◆ isExpired()

◆ amount()

◆ calendar()

◆ businessDayConvention()

◆ dayCounter()

◆ discountCurve()

◆ fixingDate()

◆ forwardRate()

◆ setupExpired()

◆ performCalculations()

◆ calculateForwardRate()

◆ calculateAmount()

Member Data Documentation

◆ fraType_

◆ forwardRate_

◆ strikeForwardRate_

◆ notionalAmount_

◆ index_

◆ useIndexedCoupon_

◆ dayCounter_

◆ calendar_

◆ businessDayConvention_

◆ valueDate_

◆ maturityDate_

◆ discountCurve_

◆ amount_