/usr/include/ql/instruments/fixedratebondforward.hpp is in libquantlib0-dev 1.4-2.
This file is owned by root:root, with mode 0o644.
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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 fixedratebondforward.hpp
\brief forward contract on a fixed-rate bond
*/
#ifndef quantlib_fixed_rate_bond_forward_hpp
#define quantlib_fixed_rate_bond_forward_hpp
#include <ql/instruments/forward.hpp>
#include <ql/instruments/bonds/fixedratebond.hpp>
namespace QuantLib {
//! %Forward contract on a fixed-rate bond
/*! 1. 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).
2. Relevant formulas used in the calculations (\f$P\f$ refers
to a price):
a. \f$ P_{CleanFwd}(t) = P_{DirtyFwd}(t) -
AI(t=deliveryDate) \f$ where \f$ AI \f$ refers to the
accrued interest on the underlying bond.
b. \f$ P_{DirtyFwd}(t) = \frac{P_{DirtySpot}(t) -
SpotIncome(t)} {discountCurve->discount(t=deliveryDate)} \f$
c. \f$ SpotIncome(t) = \sum_i \left( CF_i \times
incomeDiscountCurve->discount(t_i) \right) \f$ where \f$
CF_i \f$ 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.)
<b>Example: </b>
\link Repo.cpp
valuation of a repo on a fixed-rate bond
\endlink
\todo Add preconditions and tests
\todo Create switch- if coupon goes to seller is toggled on,
don't consider income in the \f$ P_{DirtyFwd}(t) \f$
calculation.
\todo Verify this works when the underlying is paper (in which
case ignore all AI.)
\warning This class still needs to be rigorously tested
\ingroup instruments
*/
class FixedRateBondForward : public Forward {
public:
//! \name Constructors
/*! If strike is given in the constructor, can calculate the
NPV of the contract via NPV().
If strike/forward price is desired, it can be obtained via
forwardPrice(). In this case, the strike variable in the
constructor is irrelevant and will be ignored.
*/
//@{
FixedRateBondForward(
const Date& valueDate,
const Date& maturityDate,
Position::Type type,
Real strike,
Natural settlementDays,
const DayCounter& dayCounter,
const Calendar& calendar,
BusinessDayConvention businessDayConvention,
const boost::shared_ptr<FixedRateBond>& fixedCouponBond,
const Handle<YieldTermStructure>& discountCurve =
Handle<YieldTermStructure>(),
const Handle<YieldTermStructure>& incomeDiscountCurve =
Handle<YieldTermStructure>());
//@}
//! \name Calculations
//@{
//! (dirty) forward bond price
Real forwardPrice() const;
//! (dirty) forward bond price minus accrued on bond at delivery
Real cleanForwardPrice() const;
//! 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.
*/
Real spotIncome(const Handle<YieldTermStructure>& incomeDiscountCurve)
const;
//! NPV of underlying bond
Real spotValue() const;
//@}
protected:
boost::shared_ptr<FixedRateBond> fixedCouponBond_;
void performCalculations() const;
};
}
#endif
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