Abstract base forward class. More...
#include <ql/instruments/forward.hpp>
 Inheritance diagram for Forward:
 Inheritance diagram for Forward:| Public Member Functions | |
| virtual Real | spotValue () const =0 | 
| returns spot value/price of an underlying financial instrument | |
| virtual Real | spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 | 
| NPV of income/dividends/storage-costs etc. of underlying instrument. | |
| 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) | |
| Handle< YieldTermStructure > | incomeDiscountCurve () const | 
| term structure that discounts the underlying's income cash flows | |
| bool | isExpired () const | 
| returns whether the instrument is still tradable. | |
| Calculations | |
| virtual Real | forwardValue () const | 
| forward value/price of underlying, discounting income/dividends  More... | |
| InterestRate | impliedYield (Real underlyingSpotValue, Real forwardValue, Date settlementDate, Compounding compoundingConvention, DayCounter dayCounter) | 
|  Public Member Functions inherited from Instrument | |
| virtual void | setupArguments (PricingEngine::arguments *) const | 
| virtual void | fetchResults (const PricingEngine::results *) const | 
| Real | NPV () const | 
| returns the net present value of the instrument. | |
| Real | errorEstimate () const | 
| returns the error estimate on the NPV when available. | |
| const Date & | valuationDate () const | 
| returns the date the net present value refers to. | |
| template<typename T > | |
| T | result (const std::string &tag) const | 
| returns any additional result returned by the pricing engine. | |
| const std::map< std::string, boost::any > & | additionalResults () const | 
| returns all additional result returned by the pricing engine. | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) | 
| set the pricing engine to be used.  More... | |
|  Public Member Functions inherited from LazyObject | |
| void | update () | 
| void | recalculate () | 
| void | freeze () | 
| void | unfreeze () | 
| void | alwaysForwardNotifications () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
| Protected Member Functions | |
| Forward (const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, Natural settlementDays, const boost::shared_ptr< Payoff > &payoff, const Date &valueDate, const Date &maturityDate, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) | |
| void | performCalculations () const | 
|  Protected Member Functions inherited from Instrument | |
| void | calculate () const | 
| virtual void | setupExpired () const | 
|  Protected Member Functions inherited from LazyObject | |
| Protected Attributes | |
| Real | underlyingIncome_ | 
| Real | underlyingSpotValue_ | 
| DayCounter | dayCounter_ | 
| Calendar | calendar_ | 
| BusinessDayConvention | businessDayConvention_ | 
| Natural | settlementDays_ | 
| boost::shared_ptr< Payoff > | payoff_ | 
| Date | valueDate_ | 
| Date | maturityDate_ | 
| maturityDate of the forward contract or delivery date of underlying | |
| Handle< YieldTermStructure > | discountCurve_ | 
| Handle< YieldTermStructure > | incomeDiscountCurve_ | 
|  Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ | 
| Real | NPV_ | 
| Real | errorEstimate_ | 
| Date | valuationDate_ | 
| std::map< std::string, boost::any > | additionalResults_ | 
|  Protected Attributes inherited from LazyObject | |
| bool | calculated_ | 
| bool | frozen_ | 
| bool | alwaysForward_ | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
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.
| 
 | virtual | 
forward value/price of underlying, discounting income/dividends
| InterestRate impliedYield | ( | Real | underlyingSpotValue, | 
| Real | forwardValue, | ||
| Date | settlementDate, | ||
| Compounding | compoundingConvention, | ||
| DayCounter | dayCounter | ||
| ) | 
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_;
| 
 | protectedvirtual | 
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.
| 
 | mutableprotected | 
derived classes must set this, typically via spotIncome()
| 
 | mutableprotected | 
derived classes must set this, typically via spotValue()
| 
 | protected | 
valueDate = settlement date (date the fwd contract starts accruing)
| 
 | protected | 
must set this in derived classes, based on particular underlying