Class Forward

All Implemented Interfaces:
AnalyticProduct, Product

public class Forward extends AbstractAnalyticProduct implements AnalyticProduct
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
  • Constructor Details

    • Forward

      public 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.
  • Method Details

    • getValue

      public RandomVariable getValue(double evaluationTime, AnalyticModel model)
      Description copied from interface: AnalyticProduct
      Return the valuation of the product using the given model. The model has to implement the modes of AnalyticModel.
      Specified by:
      getValue in interface AnalyticProduct
      evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.
      model - The model under which the product is valued.
      The value of the product using the given model.