| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2006 Allen Kuo |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/event.hpp> |
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| 21 | #include <ql/instruments/forward.hpp> |
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| 22 | #include <ql/termstructures/yieldtermstructure.hpp> |
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| 23 | #include <utility> |
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| 24 | |
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| 25 | namespace QuantLib { |
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| 26 | |
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| 27 | Forward::Forward(DayCounter dayCounter, |
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| 28 | Calendar calendar, |
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| 29 | BusinessDayConvention businessDayConvention, |
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| 30 | Natural settlementDays, |
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| 31 | ext::shared_ptr<Payoff> payoff, |
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| 32 | const Date& valueDate, |
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| 33 | const Date& maturityDate, |
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| 34 | Handle<YieldTermStructure> discountCurve) |
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| 35 | : dayCounter_(std::move(dayCounter)), calendar_(std::move(calendar)), |
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| 36 | businessDayConvention_(businessDayConvention), settlementDays_(settlementDays), |
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| 37 | payoff_(std::move(payoff)), valueDate_(valueDate), maturityDate_(maturityDate), |
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| 38 | discountCurve_(std::move(discountCurve)) { |
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| 39 | |
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| 40 | maturityDate_ = calendar_.adjust(maturityDate_, |
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| 41 | convention: businessDayConvention_); |
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| 42 | |
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| 43 | registerWith(h: Settings::instance().evaluationDate()); |
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| 44 | registerWith(h: discountCurve_); |
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| 45 | } |
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| 46 | |
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| 47 | |
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| 48 | Date Forward::settlementDate() const { |
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| 49 | Date d = calendar_.advance(Settings::instance().evaluationDate(), |
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| 50 | n: settlementDays_, unit: Days); |
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| 51 | return std::max(a: d,b: valueDate_); |
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| 52 | } |
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| 53 | |
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| 54 | |
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| 55 | bool Forward::isExpired() const { |
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| 56 | return detail::simple_event(maturityDate_) |
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| 57 | .hasOccurred(refDate: settlementDate()); |
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| 58 | } |
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| 59 | |
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| 60 | |
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| 61 | Real Forward::forwardValue() const { |
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| 62 | calculate(); |
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| 63 | return (underlyingSpotValue_ - underlyingIncome_ )/ |
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| 64 | discountCurve_->discount(d: maturityDate_); |
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| 65 | } |
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| 66 | |
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| 67 | |
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| 68 | InterestRate Forward::impliedYield(Real underlyingSpotValue, |
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| 69 | Real forwardValue, |
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| 70 | Date settlementDate, |
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| 71 | Compounding comp, |
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| 72 | const DayCounter& dayCounter) { |
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| 73 | |
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| 74 | Time t = dayCounter.yearFraction(d1: settlementDate,d2: maturityDate_) ; |
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| 75 | Real compoundingFactor = forwardValue/ |
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| 76 | (underlyingSpotValue-spotIncome(incomeDiscountCurve: incomeDiscountCurve_)) ; |
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| 77 | return InterestRate::impliedRate(compound: compoundingFactor, |
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| 78 | resultDC: dayCounter, comp, freq: Annual, |
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| 79 | t); |
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| 80 | } |
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| 81 | |
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| 82 | |
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| 83 | void Forward::performCalculations() const { |
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| 84 | |
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| 85 | QL_REQUIRE(!discountCurve_.empty(), |
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| 86 | "null term structure set to Forward" ); |
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| 87 | |
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| 88 | ext::shared_ptr<ForwardTypePayoff> ftpayoff = |
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| 89 | ext::dynamic_pointer_cast<ForwardTypePayoff>(r: payoff_); |
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| 90 | Real fwdValue = forwardValue(); |
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| 91 | NPV_ = (*ftpayoff)(fwdValue) * discountCurve_->discount(d: maturityDate_); |
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| 92 | } |
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| 93 | |
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| 94 | } |
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| 95 | |
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