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.
This method reverts the effect of the freeze
method, thus re-enabling recalculations.
Observer interface
returns the date the net present value refers to.
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_underlyingSpotValueand_underlyingIncomewithinperformCalculations()in the derived class before the base-class implementation is called.spotIncome()refers generically to the present value of coupons, dividends or storage costs._discountCurveis 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.todo Add preconditions and tests
warning This class still needs to be rigorously tested