Forward contract on a bond More...

#include <bondforward.hpp>

Inheritance diagram for BondForward:

Collaboration diagram for BondForward:

Public Member Functions
Constructors
	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 >())

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 ()

Calculations
ext::shared_ptr< Bond >	bond_

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...

void	performCalculations () const override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

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 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 bond

valueDate refers to the settlement date of the bond forward contract. maturityDate is the delivery (or repurchase) date for the underlying bond (not the bond's maturity date).
Relevant formulas used in the calculations ( \(P\) refers to a price):

a. \( P_{CleanFwd}(t) = P_{DirtyFwd}(t) - AI(t=deliveryDate) \) where \( AI \) refers to the accrued interest on the underlying bond.

b. \( P_{DirtyFwd}(t) = \frac{P_{DirtySpot}(t) - SpotIncome(t)} {discountCurve->discount(t=deliveryDate)} \)

c. \( SpotIncome(t) = \sum_i \left( CF_i \times incomeDiscountCurve->discount(t_i) \right) \) where \( CF_i \) represents the ith bond cash flow (coupon payment) associated with the underlying bond falling between the settlementDate and the deliveryDate. (Note the two different discount curves used in b. and c.)

Warning:
This class still needs to be rigorously tested

Examples: Repo.cpp.

Definition at line 69 of file bondforward.hpp.

Constructor & Destructor Documentation

◆ 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>()`
	)

If strike is given in the constructor, can calculate the NPV of the contract via NPV().

If strike/forward price is desired, it can be obtained via forwardPrice(). In this case, the strike variable in the constructor is irrelevant and will be ignored.

Definition at line 27 of file bondforward.cpp.

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Member Function Documentation

◆ forwardPrice()

Real forwardPrice ( ) const

(dirty) forward bond price

Examples: Repo.cpp.

Definition at line 54 of file bondforward.cpp.

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◆ cleanForwardPrice()

Real cleanForwardPrice ( ) const

(dirty) forward bond price minus accrued on bond at delivery

Examples: Repo.cpp.

Definition at line 49 of file bondforward.cpp.

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◆ spotIncome()

Real spotIncome ( const Handle< YieldTermStructure > & incomeDiscountCurve ) const

overridevirtual

NPV of bond coupons discounted using incomeDiscountCurve.

Here only coupons between max(evaluation date,settlement date) and maturity date of bond forward contract are considered income.

Implements Forward.

Examples: Repo.cpp.

Definition at line 59 of file bondforward.cpp.

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◆ spotValue()

Real spotValue ( ) const

overridevirtual

NPV of underlying bond.

Implements Forward.

Definition at line 86 of file bondforward.cpp.

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◆ performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from Instrument.

Definition at line 91 of file bondforward.cpp.

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Member Data Documentation

◆ bond_

ext::shared_ptr<Bond> bond_

protected

Definition at line 116 of file bondforward.hpp.

Public Member Functions

Calculations

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BondForward()

Member Function Documentation

◆ forwardPrice()

◆ cleanForwardPrice()

◆ spotIncome()

◆ spotValue()

◆ performCalculations()

Member Data Documentation

◆ bond_