org.jquantlib.instruments

Class Forward

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.instruments.Instrument

org.jquantlib.instruments.Forward

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

ForwardRateAgreement

public abstract class Forward
extends Instrument

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.

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.instruments.Instrument

Instrument.Arguments, Instrument.Results, Instrument.ResultsImpl

Method Summary

Modifier and Type	Method and Description
BusinessDayConvention	businessDayConvention()
Calendar	calendar()
DayCounter	dayCounter()
Handle<YieldTermStructure>	discountCurve()
double	forwardValue()
InterestRate	impliedYield(double underlyingSpotValue, double forwardValue, Date settlementDate, Compounding compoundingConvention, DayCounter dayCounter) Simple yield calculation based on underlying spot and forward values, taking into account underlying income.
Handle<YieldTermStructure>	incomeDiscountCurve()
boolean	isExpired()
void	performCalculations() This method performs the actual calculations and set any needed results.
Date	settlementDate()
abstract double	spotIncome(Handle<YieldTermStructure> incomeDiscountCurve)
abstract double	spotValue()

Methods inherited from class org.jquantlib.instruments.Instrument

errorEstimate, NPV, setPricingEngine

Methods inherited from class org.jquantlib.util.LazyObject

addObserver, countObservers, deleteObserver, deleteObservers, freeze, getObservers, notifyObservers, notifyObservers, recalculate, unfreeze, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

spotValue

public abstract double spotValue()

spotIncome

public abstract double spotIncome(Handle<YieldTermStructure> incomeDiscountCurve)

forwardValue

public double forwardValue()

impliedYield

public InterestRate impliedYield(double underlyingSpotValue,
                                 double forwardValue,
                                 Date settlementDate,
                                 Compounding compoundingConvention,
                                 DayCounter dayCounter)

Simple yield calculation based on underlying spot and forward values, taking into account underlying income.

When \f$ t>0 \f$, call with:

 underlyingSpotValue=spotValue(t);
 forwardValue=strikePrice;
 

to get current yield. For a repo, if , impliedYield should reproduce the spot repo rate. For FRA's, this should reproduce the relevant zero rate at the FRA's maturity date;

businessDayConvention

public BusinessDayConvention businessDayConvention()

calendar

public Calendar calendar()

settlementDate

public Date settlementDate()

dayCounter

public DayCounter dayCounter()

discountCurve

public Handle<YieldTermStructure> discountCurve()

incomeDiscountCurve

public Handle<YieldTermStructure> incomeDiscountCurve()

performCalculations

public void performCalculations()

Description copied from class: Instrument

This method performs the actual calculations and set any needed results.

See Also:

LazyObject.performCalculations()

isExpired

public boolean isExpired()

Specified by:

isExpired in class Instrument

Returns:

true if the instrument is still tradeable.