QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Abstract base forward class. More...
#include <forward.hpp>
Public Member Functions | |
Inspectors | |
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 | spotValue () const =0 |
returns spot value/price of an underlying financial instrument More... | |
virtual Real | spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 |
NPV of income/dividends/storage-costs etc. of underlying instrument. More... | |
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 | |
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_ |
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) |
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 |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions inherited from Instrument | |
void | calculate () const override |
virtual void | setupExpired () const |
Protected Member Functions inherited from LazyObject | |
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_ |
Abstract base forward class.
Derived classes must implement the virtual functions spotValue() (NPV or spot price) and spotIncome() associated with the specific relevant underlying (e.g. bond, stock, commodity, loan/deposit). These functions must be used to set the protected member variables underlyingSpotValue_ and underlyingIncome_ within performCalculations() in the derived class before the base-class implementation is called.
spotIncome() refers generically to the present value of coupons, dividends or storage costs.
discountCurve_ is the curve used to discount forward contract cash flows back to the evaluation day, as well as to obtain forward values for spot values/prices.
incomeDiscountCurve_, which for generality is not automatically set to the discountCurve_, is the curve used to discount future income/dividends/storage-costs etc back to the evaluation date.
Definition at line 66 of file forward.hpp.
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protected |
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virtual |
Definition at line 48 of file forward.cpp.
const Calendar & calendar | ( | ) | const |
Definition at line 168 of file forward.hpp.
BusinessDayConvention businessDayConvention | ( | ) | const |
Definition at line 172 of file forward.hpp.
const DayCounter & dayCounter | ( | ) | const |
Handle< YieldTermStructure > discountCurve | ( | ) | const |
term structure relevant to the contract (e.g. repo curve)
Definition at line 180 of file forward.hpp.
Handle< YieldTermStructure > incomeDiscountCurve | ( | ) | const |
term structure that discounts the underlying's income cash flows
Definition at line 184 of file forward.hpp.
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overridevirtual |
returns whether the instrument is still tradable.
Implements Instrument.
Definition at line 55 of file forward.cpp.
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pure virtual |
returns spot value/price of an underlying financial instrument
Implemented in BondForward.
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pure virtual |
NPV of income/dividends/storage-costs etc. of underlying instrument.
Implemented in BondForward.
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virtual |
forward value/price of underlying, discounting income/dividends
Definition at line 61 of file forward.cpp.
InterestRate impliedYield | ( | Real | underlyingSpotValue, |
Real | forwardValue, | ||
Date | settlementDate, | ||
Compounding | compoundingConvention, | ||
const DayCounter & | dayCounter | ||
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Simple yield calculation based on underlying spot and forward values, taking into account underlying income. When \( t>0 \), call with: underlyingSpotValue=spotValue(t), forwardValue=strikePrice, to get current yield. For a repo, if \( t=0 \), impliedYield should reproduce the spot repo rate. For FRA's, this should reproduce the relevant zero rate at the FRA's maturityDate_;
Definition at line 68 of file forward.cpp.
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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 83 of file forward.cpp.
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mutableprotected |
derived classes must set this, typically via spotIncome()
Definition at line 123 of file forward.hpp.
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mutableprotected |
derived classes must set this, typically via spotValue()
Definition at line 125 of file forward.hpp.
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protected |
Definition at line 127 of file forward.hpp.
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Definition at line 128 of file forward.hpp.
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Definition at line 129 of file forward.hpp.
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Definition at line 130 of file forward.hpp.
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Definition at line 131 of file forward.hpp.
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valueDate = settlement date (date the fwd contract starts accruing)
Definition at line 135 of file forward.hpp.
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maturityDate of the forward contract or delivery date of underlying
Definition at line 137 of file forward.hpp.
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Definition at line 138 of file forward.hpp.
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must set this in derived classes, based on particular underlying
Definition at line 140 of file forward.hpp.