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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/fixedratebondforward.hpp>
#include <ql/yieldtermstructure.hpp>

namespace QuantLib {

00025     FixedRateBondForward::FixedRateBondForward(
                    const Date& valueDate,
                    const Date& maturityDate,
                    Position::Type type,
                    Real strike,
                    Natural settlementDays,
                    const DayCounter& dayCounter,
                    const Calendar& calendar,
                    BusinessDayConvention businessDayConvention,
                    const boost::shared_ptr<FixedRateBond>& fixedCouponBond,
                    const Handle<YieldTermStructure>& discountCurve,
                    const Handle<YieldTermStructure>& incomeDiscountCurve)
    : Forward(dayCounter, calendar, businessDayConvention, settlementDays,
              boost::shared_ptr<Payoff>(new ForwardTypePayoff(type,strike)),
              valueDate, maturityDate, discountCurve),
      fixedCouponBond_(fixedCouponBond) {

        incomeDiscountCurve_ = incomeDiscountCurve;

00047     Real FixedRateBondForward::cleanForwardPrice() const {
        return forwardValue() -

00053     Real FixedRateBondForward::forwardPrice() const {
        return forwardValue();

00058     Real FixedRateBondForward::spotIncome(const Handle<YieldTermStructure>&
                                                  incomeDiscountCurve) const {

        Real income = 0.0;
        Date settlement = settlementDate();
        Leg cf =

          the following assumes
          1. cashflows are in ascending order !
          2. considers as income: all coupons paid between settlementDate()
          and contract delivery/maturity date
        for (Size i = 0; i < cf.size(); ++i) {
            if (!cf[i]->hasOccurred(settlement)) {
                if (cf[i]->hasOccurred(maturityDate_)) {
                    income += cf[i]->amount() *
                              incomeDiscountCurve->discount(cf[i]->date()) ;
                } else {

        return income;

00087     Real FixedRateBondForward::spotValue() const {
        return fixedCouponBond_->dirtyPrice();

00092     void FixedRateBondForward::performCalculations() const {

        underlyingSpotValue_ = spotValue();
        underlyingIncome_    = spotIncome(incomeDiscountCurve_);



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