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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2006 Allen Kuo

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

#include <ql/Instruments/forward.hpp>
#include <ql/settings.hpp>

namespace QuantLib {

    Forward::Forward(const DayCounter& dayCount,
                     const Calendar& calendar,
                     BusinessDayConvention businessDayConvention,
                     Integer settlementDays,
                     const boost::shared_ptr<Payoff>& payoff,
                     const Date& valueDate,
                     const Date& maturityDate,
                     const Handle<YieldTermStructure>& discountCurve)
    : dayCount_(dayCount), calendar_(calendar),
      settlementDays_(settlementDays), payoff_(payoff), valueDate_(valueDate),
      maturityDate_(maturityDate), discountCurve_(discountCurve) {

        maturityDate_ = calendar_.adjust(maturityDate_,


    Date Forward::settlementDate() const {
        Date d = calendar_.advance(Settings::instance().evaluationDate(),
                                   settlementDays_, Days);
        return std::max(d,valueDate_);

00053     bool Forward::isExpired() const {
        #if defined(QL_TODAYS_PAYMENTS)
        return maturityDate_ < settlementDate();
        return maturityDate_ <= settlementDate();

00062     Real Forward::forwardValue() const {
        return (underlyingSpotValue_ - underlyingIncome_ )/

00069     InterestRate Forward::impliedYield(Real underlyingSpotValue,
                                       Real forwardValue,
                                       Date settlementDate,
                                       Compounding compoundingConvention,
                                       DayCounter dayCount) {

        Time tenor(dayCount.yearFraction(settlementDate,maturityDate_)) ;
        Real compoundingFactor = forwardValue/
            (underlyingSpotValue-spotIncome(incomeDiscountCurve_)) ;
        return InterestRate::impliedRate(compoundingFactor,

00085     void Forward::performCalculations() const {

        QL_REQUIRE(!discountCurve_.empty(), "no term structure set");

        boost::shared_ptr<ForwardTypePayoff> ftpayoff =
        Real fwdValue = forwardValue();
        NPV_ = (*ftpayoff)(fwdValue) * discountCurve_->discount(maturityDate_);


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