Forward contract on a fixed-rate bond More...
#include <ql/instruments/fixedratebondforward.hpp>
Inheritance diagram for FixedRateBondForward:
Collaboration diagram for FixedRateBondForward:
Public Member Functions | |
| FixedRateBondForward (const Date &valueDate, const Date &maturityDate, Position::Type type, Real strike, Natural settlementDays, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, const ext::shared_ptr< FixedRateBond > &fixedRateBond, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &incomeDiscountCurve=Handle< YieldTermStructure >()) | |
| Public Member Functions inherited from BondForward | |
| BondForward (const Date &valueDate, const Date &maturityDate, Position::Type type, Real strike, Natural settlementDays, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, const ext::shared_ptr< Bond > &bond, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &incomeDiscountCurve=Handle< YieldTermStructure >()) | |
| Real | forwardPrice () const |
| (dirty) forward bond price More... | |
| Real | cleanForwardPrice () const |
| (dirty) forward bond price minus accrued on bond at delivery More... | |
| Real | spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const override |
| NPV of bond coupons discounted using incomeDiscountCurve. More... | |
| Real | spotValue () const override |
| NPV of underlying bond. More... | |
| Public Member Functions inherited from Forward | |
| 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) More... | |
| Handle< YieldTermStructure > | incomeDiscountCurve () const |
| term structure that discounts the underlying's income cash flows More... | |
| bool | isExpired () const override |
| returns whether the instrument is still tradable. More... | |
| virtual Real | forwardValue () const |
| forward value/price of underlying, discounting income/dividends More... | |
| InterestRate | impliedYield (Real underlyingSpotValue, Real forwardValue, Date settlementDate, Compounding compoundingConvention, const DayCounter &dayCounter) |
| 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 () | |
| 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 () |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from BondForward | |
| void | performCalculations () const override |
| Protected Member Functions inherited from Forward | |
| Forward (DayCounter dayCounter, Calendar calendar, BusinessDayConvention businessDayConvention, Natural settlementDays, ext::shared_ptr< Payoff > payoff, const Date &valueDate, const Date &maturityDate, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >()) | |
| void | performCalculations () const override |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const override |
| virtual void | setupExpired () const |
| Protected Member Functions inherited from LazyObject | |
| Protected Attributes inherited from BondForward | |
| ext::shared_ptr< Bond > | bond_ |
| Protected Attributes inherited from Forward | |
| Real | underlyingIncome_ |
| Real | underlyingSpotValue_ |
| DayCounter | dayCounter_ |
| Calendar | calendar_ |
| BusinessDayConvention | businessDayConvention_ |
| Natural | settlementDays_ |
| ext::shared_ptr< Payoff > | payoff_ |
| Date | valueDate_ |
| Date | maturityDate_ |
| maturityDate of the forward contract or delivery date of underlying More... | |
| Handle< YieldTermStructure > | discountCurve_ |
| Handle< YieldTermStructure > | incomeDiscountCurve_ |
| 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 contract on a fixed-rate bond
- Deprecated:
- Use BondForward instead.
Definition at line 35 of file fixedratebondforward.hpp.
Constructor & Destructor Documentation
◆ FixedRateBondForward()
| FixedRateBondForward | ( | const Date & | valueDate, |
| const Date & | maturityDate, | ||
| Position::Type | type, | ||
| Real | strike, | ||
| Natural | settlementDays, | ||
| const DayCounter & | dayCounter, | ||
| const Calendar & | calendar, | ||
| BusinessDayConvention | businessDayConvention, | ||
| const ext::shared_ptr< FixedRateBond > & | fixedRateBond, | ||
| const Handle< YieldTermStructure > & | discountCurve = Handle<YieldTermStructure>(), |
||
| const Handle< YieldTermStructure > & | incomeDiscountCurve = Handle<YieldTermStructure>() |
||
| ) |
Definition at line 37 of file fixedratebondforward.hpp.