24#ifndef quantlib_forward_rate_agreement_hpp
25#define quantlib_forward_rate_agreement_hpp
73 const Date& valueDate,
74 const Date& maturityDate,
76 Rate strikeForwardRate,
78 const ext::shared_ptr<IborIndex>& index,
80 bool useIndexedCoupon =
true);
87 const Date& valueDate,
89 Rate strikeForwardRate,
91 const ext::shared_ptr<IborIndex>& index,
99 const ext::shared_ptr<IborIndex>& index,
100 const Date& valueDate,
102 Rate strikeForwardRate,
113 const ext::shared_ptr<IborIndex>& index,
114 const Date& valueDate,
115 const Date& maturityDate,
117 Rate strikeForwardRate,
Forward rate agreement (FRA) class
void performCalculations() const override
Handle< YieldTermStructure > discountCurve_
InterestRate strikeForwardRate_
aka FRA fixing rate, contract rate
void calculateForwardRate() const
bool isExpired() const override
A FRA expires/settles on the value date.
const DayCounter & dayCounter() const
Handle< YieldTermStructure > discountCurve() const
term structure relevant to the contract (e.g. repo curve)
InterestRate forwardRate_
aka FRA rate (the market forward rate)
const Calendar & calendar() const
void calculateAmount() const
void setupExpired() const override
BusinessDayConvention businessDayConvention() const
Date maturityDate_
maturityDate of the underlying index; not the date the FRA is settled.
Real amount() const
The payoff on the value date.
Date valueDate_
the valueDate is the date the underlying index starts accruing and the FRA is settled.
InterestRate forwardRate() const
Returns the relevant forward rate associated with the FRA term.
BusinessDayConvention businessDayConvention_
ext::shared_ptr< IborIndex > index_
Shared handle to an observable.
Abstract instrument class.
Concrete interest rate class.
BusinessDayConvention
Business Day conventions.