org.jquantlib.instruments

Class ForwardRateAgreement

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.instruments.Instrument

org.jquantlib.instruments.Forward

org.jquantlib.instruments.ForwardRateAgreement

All Implemented Interfaces:

Observable, Observer

public class ForwardRateAgreement
extends Forward

Forward rate agreement (FRA) class

1. Unlike the forward contract conventions on carryable financial assets (stocks, bonds, commodities), the valueDate for a FRA is taken to be the day when the forward loan or deposit begins and when full settlement takes place (based on the NPV of the contract on that date). maturityDate is the date when the forward loan or deposit ends. In fact, the FRA settles and expires on the valueDate, not on the (later) maturityDate. It follows that (maturityDate - valueDate) is the tenor/term of the underlying loan or deposit

2. Choose position type = Long for an "FRA purchase" (future long loan, short deposit [borrower])

3. Choose position type = Short for an "FRA sale" (future short loan, long deposit [lender])

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

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

Nested Class Summary

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

Instrument.Arguments, Instrument.Results, Instrument.ResultsImpl

Constructor Summary

Constructors

Constructor and Description
ForwardRateAgreement(Date valueDate, Date maturityDate, Position type, double strikeForwardRate, double notionalAmount, IborIndex index)
ForwardRateAgreement(Date valueDate, Date maturityDate, Position type, double strikeForwardRate, double notionalAmount, IborIndex index, Handle<YieldTermStructure> discountCurve)

Method Summary

Modifier and Type	Method and Description
InterestRate	forwardRate()
boolean	isExpired()
void	performCalculations() This method performs the actual calculations and set any needed results.
Date	settlementDate()
double	spotIncome(Handle<YieldTermStructure> incomeDiscountCurve)
double	spotValue()

Methods inherited from class org.jquantlib.instruments.Forward

businessDayConvention, calendar, dayCounter, discountCurve, forwardValue, impliedYield, incomeDiscountCurve

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

Constructor Detail

ForwardRateAgreement

public ForwardRateAgreement(Date valueDate,
                            Date maturityDate,
                            Position type,
                            double strikeForwardRate,
                            double notionalAmount,
                            IborIndex index)

ForwardRateAgreement

public ForwardRateAgreement(Date valueDate,
                            Date maturityDate,
                            Position type,
                            double strikeForwardRate,
                            double notionalAmount,
                            IborIndex index,
                            Handle<YieldTermStructure> discountCurve)

Method Detail

settlementDate

public Date settlementDate()

Overrides:

settlementDate in class Forward

isExpired

public boolean isExpired()

Overrides:

isExpired in class Forward

Returns:

true if the instrument is still tradeable.

spotIncome

public double spotIncome(Handle<YieldTermStructure> incomeDiscountCurve)

Specified by:

spotIncome in class Forward

spotValue

public double spotValue()

Specified by:

spotValue in class Forward

forwardRate

public InterestRate forwardRate()

performCalculations

public void performCalculations()

Description copied from class: Instrument

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

Overrides:

performCalculations in class Forward

See Also:

LazyObject.performCalculations()