ForwardBond Class Reference

Forward Bond class. More...

#include <qle/instruments/forwardbond.hpp>

Inheritance diagram for ForwardBond:

Collaboration diagram for ForwardBond:

Classes
class	arguments
class	engine
class	results

Public Member Functions
	ForwardBond (const QuantLib::ext::shared_ptr< QuantLib::Bond > &underlying, const QuantLib::ext::shared_ptr< Payoff > &payoff, const Date &fwdMaturityDate, const Date &fwdSettlementDate, const bool isPhysicallySettled, const bool settlementDirty, const Real compensationPayment, const Date compensationPaymentDate, const Real bondNotional=1.0)
	Constructor vanilla forward bond. More...
	ForwardBond (const QuantLib::ext::shared_ptr< QuantLib::Bond > &underlying, const Real lockRate, const DayCounter &lockRateDayCounter, const bool longInForward, const Date &fwdMaturityDate, const Date &fwdSettlementDate, const bool isPhysicallySettled, const bool settlementDirty, const Real compensationPayment, const Date compensationPaymentDate, const Real bondNotional=1.0, const Real dv01=Null< Real >())
	Constructor for tlocks with lock rate. More...
Instrument interface
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override

Inspectors
QuantLib::ext::shared_ptr< QuantLib::Bond >	underlying_
QuantLib::ext::shared_ptr< Payoff >	payoff_
Real	lockRate_
DayCounter	lockRateDayCounter_
boost::optional< bool >	longInForward_
Date	fwdMaturityDate_
Date	fwdSettlementDate_
bool	isPhysicallySettled_
bool	settlementDirty_
Real	compensationPayment_
Date	compensationPaymentDate_
Real	bondNotional_
Real	dv01_
Real	underlyingIncome_
Real	underlyingSpotValue_
Real	forwardValue_
const QuantLib::ext::shared_ptr< QuantLib::Bond > &	underlying ()

Detailed Description

Forward Bond class.

Definition at line 41 of file forwardbond.hpp.

Constructor & Destructor Documentation

ForwardBond() [1/2]

ForwardBond	(	const QuantLib::ext::shared_ptr< QuantLib::Bond > &	underlying,
		const QuantLib::ext::shared_ptr< Payoff > &	payoff,
		const Date &	fwdMaturityDate,
		const Date &	fwdSettlementDate,
		const bool	isPhysicallySettled,
		const bool	settlementDirty,
		const Real	compensationPayment,
		const Date	compensationPaymentDate,
		const Real	bondNotional = 1.0
	)

Constructor vanilla forward bond.

ForwardBond() [2/2]

ForwardBond	(	const QuantLib::ext::shared_ptr< QuantLib::Bond > &	underlying,
		const Real	lockRate,
		const DayCounter &	lockRateDayCounter,
		const bool	longInForward,
		const Date &	fwdMaturityDate,
		const Date &	fwdSettlementDate,
		const bool	isPhysicallySettled,
		const bool	settlementDirty,
		const Real	compensationPayment,
		const Date	compensationPaymentDate,
		const Real	bondNotional = 1.0,
		const Real	dv01 = Null< Real >()
	)

Constructor for tlocks with lock rate.

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 46 of file forwardbond.cpp.

{ return detail::simple_event(fwdMaturityDate_).hasOccurred(); }

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 48 of file forwardbond.cpp.

                                                                   {
    ForwardBond::arguments* arguments = dynamic_cast<ForwardBond::arguments*>(args);
    QL_REQUIRE(arguments != 0, "wrong argument type in forward bond");
    arguments->underlying = underlying_;
    arguments->payoff = payoff_;
    arguments->lockRate = lockRate_;
    arguments->lockRateDayCounter = lockRateDayCounter_;
    arguments->longInForward = longInForward_;
    arguments->fwdMaturityDate = fwdMaturityDate_;
    arguments->fwdSettlementDate = fwdSettlementDate_;
    arguments->isPhysicallySettled = isPhysicallySettled_;
    arguments->settlementDirty = settlementDirty_;
    arguments->compensationPayment = compensationPayment_;
    arguments->compensationPaymentDate = compensationPaymentDate_;
    arguments->bondNotional = bondNotional_;
    arguments->dv01 = dv01_;
}

fetchResults()

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

override

Definition at line 73 of file forwardbond.cpp.

                                                                  {
    Instrument::fetchResults(r);
    const ForwardBond::results* results = dynamic_cast<const ForwardBond::results*>(r);
    QL_REQUIRE(results, "wrong result type");
    forwardValue_ = results->forwardValue;
    underlyingSpotValue_ = results->underlyingSpotValue;
    underlyingIncome_ = results->underlyingIncome;
}

underlying()

const QuantLib::ext::shared_ptr< QuantLib::Bond > & underlying

(

)

Definition at line 67 of file forwardbond.hpp.

{ return underlying_; }

Member Data Documentation

underlying_

QuantLib::ext::shared_ptr<QuantLib::Bond> underlying_

private

Definition at line 71 of file forwardbond.hpp.

payoff_

QuantLib::ext::shared_ptr<Payoff> payoff_

private

Definition at line 72 of file forwardbond.hpp.

lockRate_

Real lockRate_

private

Definition at line 73 of file forwardbond.hpp.

lockRateDayCounter_

DayCounter lockRateDayCounter_

private

Definition at line 74 of file forwardbond.hpp.

longInForward_

boost::optional<bool> longInForward_

private

Definition at line 75 of file forwardbond.hpp.

fwdMaturityDate_

Date fwdMaturityDate_

private

Definition at line 76 of file forwardbond.hpp.

fwdSettlementDate_

Date fwdSettlementDate_

private

Definition at line 77 of file forwardbond.hpp.

isPhysicallySettled_

bool isPhysicallySettled_

private

Definition at line 78 of file forwardbond.hpp.

settlementDirty_

bool settlementDirty_

private

Definition at line 79 of file forwardbond.hpp.

compensationPayment_

Real compensationPayment_

private

Definition at line 80 of file forwardbond.hpp.

compensationPaymentDate_

Date compensationPaymentDate_

private

Definition at line 81 of file forwardbond.hpp.

bondNotional_

Real bondNotional_

private

Definition at line 82 of file forwardbond.hpp.

dv01_

Real dv01_

private

Definition at line 83 of file forwardbond.hpp.

underlyingIncome_

Real underlyingIncome_

mutableprivate

Definition at line 84 of file forwardbond.hpp.

underlyingSpotValue_

Real underlyingSpotValue_

mutableprivate

Definition at line 85 of file forwardbond.hpp.

forwardValue_

Real forwardValue_

mutableprivate

Definition at line 86 of file forwardbond.hpp.