Implements the valuation of a forward using curves (discount curve, forward curve). The forward value is simply the product of a discount factor and a forward. This is similar to a FRA (a forward rate), except that there is no scaling with a period length. The class can be used to define equity forwards. Here the discount curve can be interpreted as a repo curve.
- Christian Fries
Forwardpublic Forward(double maturity, double paymentOffset, String forwardCurveName, double spread, String discountCurveName)Creates a forward. The forward has a unit notional of 1.
maturity- Maturity, i.e., fixing on the forward curve.
paymentOffset- Payment offset, i.e. payment is maturity + paymentOffset.
forwardCurveName- Name of the forward curve, leave empty if this is a fix payment.
spread- Additional fixed payment (if any).
discountCurveName- Name of the discount curve for the forward.
getValuepublic double getValue(double evaluationTime, AnalyticModel model)Description copied from interface:
AnalyticProductReturn the valuation of the product using the given model. The model has to implement the modes of