Forward rate agreement (FRA) class More...
#include <ql/instruments/forwardrateagreement.hpp>
Public Member Functions | |
ForwardRateAgreement (const Date &valueDate, const Date &maturityDate, Position::Type type, Rate strikeForwardRate, Real notionalAmount, const ext::shared_ptr< IborIndex > &index, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), bool useIndexedCoupon=true) | |
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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 | |
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) |
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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 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 |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
void | alwaysForwardNotifications () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const 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 | deepUpdate () |
Calculations | |
Position::Type | fraType_ |
InterestRate | forwardRate_ |
aka FRA rate (the market forward rate) | |
InterestRate | strikeForwardRate_ |
aka FRA fixing rate, contract rate | |
Real | notionalAmount_ |
ext::shared_ptr< IborIndex > | index_ |
bool | useIndexedCoupon_ |
bool | isExpired () const |
Date | settlementDate () const |
Date | fixingDate () const |
Real | spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const |
Real | spotValue () const |
Spot value (NPV) of the underlying loan. More... | |
InterestRate | forwardRate () const |
Returns the relevant forward rate associated with the FRA term. | |
void | setupExpired () const |
void | performCalculations () const |
Additional Inherited Members | |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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Forward (const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, Natural settlementDays, const ext::shared_ptr< Payoff > &payoff, const Date &valueDate, const Date &maturityDate, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >()) | |
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void | calculate () const |
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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 | |
Handle< YieldTermStructure > | discountCurve_ |
Handle< YieldTermStructure > | incomeDiscountCurve_ |
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Real | NPV_ |
Real | errorEstimate_ |
Date | valuationDate_ |
std::map< std::string, boost::any > | additionalResults_ |
ext::shared_ptr< PricingEngine > | engine_ |
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bool | calculated_ |
bool | frozen_ |
bool | alwaysForward_ |
Forward rate agreement (FRA) class
Example: valuation of a forward-rate agreement
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virtual |
A FRA expires/settles on the valueDate
Reimplemented from Forward.
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virtual |
This returns evaluationDate + settlementDays (not FRA valueDate).
Reimplemented from Forward.
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virtual |
Income is zero for a FRA
Implements Forward.
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virtual |
Spot value (NPV) of the underlying loan.
This has always a positive value (asset), even if short the FRA
Implements Forward.
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protectedvirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
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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 Forward.