bondforward.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Allen Kuo
 Copyright (C) 2022 Marcin Rybacki
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_bond_forward_hpp
#define quantlib_bond_forward_hpp
 
#include <ql/instruments/forward.hpp>
#include <ql/instruments/bond.hpp>
 
namespace QuantLib {
 
 
    class BondForward : public Forward {
      public:
 
        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;
 
        Real cleanForwardPrice() const;
 
 
        Real spotIncome(const Handle<YieldTermStructure>& incomeDiscountCurve) const override;
 
        Real spotValue() const override;
 
 
      protected:
        ext::shared_ptr<Bond> bond_;
        void performCalculations() const override;
    };
 
}
 
#endif