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.
Forward rate agreement (FRA) class
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
Choose position type = Long for an "FRA purchase" (future long loan, short deposit [borrower])
Choose position type = Short for an "FRA sale" (future short loan, long deposit [lender])
If strike is given in the constructor, can calculate the NPV of the contract via NPV().
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.
Example: link examples\FRA.ts
todo Add preconditions and tests
todo Should put an instance of ForwardRateAgreement in the FraRateHelper to ensure consistency with the piecewise yield curve.
todo Differentiate between BBA (British)/AFB (French) assumed here and ABA (Australian) banker conventions in the calculations.
warning This class still needs to be rigorously tested