/usr/include/ql/instruments/forwardrateagreement.hpp is in libquantlib0-dev 1.1-2build1.
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/*
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
<http://quantlib.org/license.shtml>.
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.
*/
/*! \file forwardrateagreement.hpp
\brief forward rate agreement
*/
#ifndef quantlib_forward_rate_agreement_hpp
#define quantlib_forward_rate_agreement_hpp
#include <ql/instruments/forward.hpp>
namespace QuantLib {
//! %Forward rate agreement (FRA) class
/*! 1. 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
2. Choose position type = Long for an "FRA purchase" (future
long loan, short deposit [borrower])
3. Choose position type = Short for an "FRA sale" (future short
loan, long deposit [lender])
4. If strike is given in the constructor, can calculate the NPV
of the contract via NPV().
5. 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.
<b>Example: </b>
\link FRA.cpp
valuation of a forward-rate agreement
\endlink
\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
\ingroup instruments
*/
class IborIndex;
class ForwardRateAgreement: public Forward {
public:
ForwardRateAgreement(const Date& valueDate,
const Date& maturityDate,
Position::Type type,
Rate strikeForwardRate,
Real notionalAmount,
const boost::shared_ptr<IborIndex>& index,
const Handle<YieldTermStructure>& discountCurve =
Handle<YieldTermStructure>());
//! \name Calculations
//@{
/*! A FRA expires/settles on the valueDate */
bool isExpired() const;
/*! This returns evaluationDate + settlementDays (not FRA
valueDate).
*/
Date settlementDate() const;
/*! Income is zero for a FRA */
Real spotIncome(const Handle<YieldTermStructure>& incomeDiscountCurve)
const;
//! Spot value (NPV) of the underlying loan
/*! This has always a positive value (asset), even if short the FRA */
Real spotValue() const;
//! Returns the relevant forward rate associated with the FRA term
InterestRate forwardRate() const;
//@}
protected:
void performCalculations() const;
Position::Type fraType_;
//! aka FRA rate (the market forward rate)
mutable InterestRate forwardRate_;
//! aka FRA fixing rate, contract rate
InterestRate strikeForwardRate_;
Real notionalAmount_;
boost::shared_ptr<IborIndex> index_;
};
}
#endif
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