QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Forward contract on a fixed-rate bond More...
#include <fixedratebondforward.hpp>
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_ |
Forward contract on a fixed-rate bond
Definition at line 35 of file fixedratebondforward.hpp.
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>() , |
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const Handle< YieldTermStructure > & | incomeDiscountCurve = Handle<YieldTermStructure>() |
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) |
Definition at line 37 of file fixedratebondforward.hpp.