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 Detail

      • 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 Detail

      • 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.