Abstract base forward class. More...
#include <ql/instruments/forward.hpp>
Inheritance diagram for Forward:Public Member Functions | |
| 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. | |
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 |
| returns whether the instrument is still tradable. | |
Calculations | |
| virtual Real | forwardValue () const |
| forward value/price of underlying, discounting income/dividends More... | |
| InterestRate | impliedYield (Real underlyingSpotValue, Real forwardValue, Date settlementDate, Compounding compoundingConvention, DayCounter dayCounter) |
Public Member Functions inherited from Instrument | |
| virtual void | setupArguments (PricingEngine::arguments *) const |
| virtual void | fetchResults (const PricingEngine::results *) const |
| 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, boost::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
Public Member Functions inherited from LazyObject | |
| void | update () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Protected Member Functions | |
| Forward (const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, Natural settlementDays, const boost::shared_ptr< Payoff > &payoff, const Date &valueDate, const Date &maturityDate, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) | |
| void | performCalculations () const |
Protected Member Functions inherited from Instrument | |
| void | calculate () const |
| virtual void | setupExpired () const |
Protected Member Functions inherited from LazyObject | |
Protected Attributes | |
| Real | underlyingIncome_ |
| Real | underlyingSpotValue_ |
| DayCounter | dayCounter_ |
| Calendar | calendar_ |
| BusinessDayConvention | businessDayConvention_ |
| Natural | settlementDays_ |
| boost::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 | |
| boost::shared_ptr< PricingEngine > | engine_ |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
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.
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virtual |
forward value/price of underlying, discounting income/dividends
| InterestRate impliedYield | ( | Real | underlyingSpotValue, |
| Real | forwardValue, | ||
| Date | settlementDate, | ||
| Compounding | compoundingConvention, | ||
| 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_;
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protectedvirtual |
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.
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mutableprotected |
derived classes must set this, typically via spotIncome()
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mutableprotected |
derived classes must set this, typically via spotValue()
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protected |
valueDate = settlement date (date the fwd contract starts accruing)
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protected |
must set this in derived classes, based on particular underlying