returns the net present value of the instrument.
returns all additional result returned by the pricing engine.
This method causes the object to forward all notifications, even when not calculated. The default behavior is to forward the first notification received, and discard the others until recalculated; the rationale is that observers were already notified, and don't need further notification until they recalculate, at which point this object would be recalculated too. After recalculation, this object would again forward the first notification received.
warning Forwarding all notifications will cause a performance hit, and should be used only when discarding notifications cause an incorrect behavior.
returns the error estimate on the NPV when available.
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
forward value/price of underlying, discounting income/dividends note if this is a bond forward price, is must be a dirty forward price.
This method constrains the object to return the presently cached results on successive invocations, even if arguments upon which they depend should change.
Simple yield calculation based on underlying spot and
forward values, taking into account underlying income.
When $ t>0 $, call with:
underlyingSpotValue=spotValue(t),
forwardValue=strikePrice, to get current yield. For a
repo, if $ t=0 $, impliedYield should reproduce the
spot repo rate. For FRA's, this should reproduce the
relevant zero rate at the FRA's _maturityDate;
This method force the recalculation of any results which
would otherwise be cached. It is not declared as
const since it needs to call the
non-const notifyObservers method.
note Explicit invocation of this method is not necessary if the object registered itself as observer with the structures on which such results depend. It is strongly advised to follow this policy when possible.
returns any additional result returned by the pricing engine.
set the pricing engine to be used.
warning calling this method will have no effects in case the performCalculation method was overridden in a derived class.
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
This method must leave the instrument in a consistent state when the expiration condition is met.
NPV of bond coupons discounted using incomeDiscountCurve
Here only coupons between max(evaluation date,settlement date) and maturity date of bond forward contract are considered income.
This method reverts the effect of the freeze
method, thus re-enabling recalculations.
Observer interface
returns the date the net present value refers to.
Forward contract on a fixed-rate bond
valueDate refers to the settlement date of the bond forward contract. maturityDate is the delivery (or repurchase) date for the underlying bond (not the bond's maturity date).
Relevant formulas used in the calculations ($P$ refers to a price):
a. $ P_{CleanFwd}(t) = P_{DirtyFwd}(t) - AI(t=deliveryDate) $ where $ AI $ refers to the accrued interest on the underlying bond.
b. $ P_{DirtyFwd}(t) = \frac{P_{DirtySpot}(t) - SpotIncome(t)} {discountCurve->discount(t=deliveryDate)} $
c. $ SpotIncome(t) = \sum_i \left( CF_i \times incomeDiscountCurve->discount(t_i) \right) $ where $ CF_i $ represents the ith bond cash flow (coupon payment) associated with the underlying bond falling between the settlementDate and the deliveryDate. (Note the two different discount curves used in b. and c.)
link examples/Repo.ts valuation of a repo on a fixed-rate bond
Add preconditions and tests
Create switch- if coupon goes to seller is toggled on, don't consider income in the $ P_{DirtyFwd}(t) $ calculation.
Verify this works when the underlying is paper (in which case ignore all AI.)
This class still needs to be rigorously tested