Class implements a Forward Rate Agreement. More...

#include <FRA.hpp>

Inheritance diagram for julian::FRA:

Public Member Functions
	FRA (Date trade_date, Date fixing_date, Date value_date, Date maturity_date, InterestRate rate, double notional, double fixing, double quoting)
	constructor More...

FRA *	clone () const
	Virtual copy constructor. More...

Linear instrument interface
double	price (const SmartPointer< ir::Curve > &) override
	calculates price of FRA by summing the discounted CFs of fixed and floating leg More...

double	price (const SmartPointer< ir::Curve > &discounting, const SmartPointer< ir::Curve > &projecting, const SmartPointer< ir::Curve > &, const SmartPointer< ir::Curve > &) override
	calculates price of FRA by summing the discounted CFs of fixed and floating leg More...

void	valuation (const SmartPointer< ir::Curve > &) override
	prints price and CFs of FRA using the same curve for discounting and projecting forward rates More...

void	valuation (const SmartPointer< ir::Curve > &discounting1, const SmartPointer< ir::Curve > &discounting2, const SmartPointer< ir::Curve > &projecting1, const SmartPointer< ir::Curve > &projecting2) override
	prints price and CFs of FRA using different curve for discounting and projecting forward rates More...

Building Block interface
Date	getDate () const override
	returns maturity of FRA More...

std::pair< CashFlowVector, CashFlowVector >	getCFs () const override
	Returns the sets of cashflows associated with FRA. More...

double	calibrate (const SmartPointer< ir::Curve > &calibrated) override
	Method calibrate is used by root finding estimator. More...

double	calibrate (const SmartPointer< ir::Curve > &discounting, const SmartPointer< ir::Curve > &projection, const SmartPointer< ir::Curve > &calibrated) override
	Method calibrate is used by root finding estimator. More...

double	getParRate (const SmartPointer< ir::Curve > &discounting, const SmartPointer< ir::Curve > &projection, const SmartPointer< ir::Curve > &projection2) override
	Implies quoting of benchmark instrument from interest rate curves provided. More...

double	getQuoting () override
	Returns quoting. More...

void	changeQuoting (double) override
	changes quoting of the FRA More...

InterestRate	getInterestRate () const override
	Returns interest rates convention of the benchmark instruments. More...

std::string	info () const override
	Returns a name of instrument: FRA. More...

Public Member Functions inherited from julian::LinearInstrument
	LinearInstrument ()
	constructor More...

virtual	~LinearInstrument ()
	destructor More...

Public Member Functions inherited from julian::ir::BuildingBlock
virtual	~BuildingBlock ()
	destructor More...

Private Attributes
Date	trade_date_
	The date on which FRA is dealt. More...

Date	fixing_date_
	The date on which reference rate is determined. More...

Date	value_date_
	The date on which the deposit of found becomes effective. More...

Date	maturity_date_
	The date on which the deposit expires. More...

InterestRate	rate_
	Convention of interest rates. More...

double	notional_
	The amount for which FRA is traded. More...

double	fixing_
	Determined fixing. More...

double	quote_
	Interest rate at which FRA is traded. More...

CashFlowVector	floating_leg_
	Cash flow dependent on market index. More...

CashFlowVector	fixed_leg_
	Fixed cash flow. More...

Friends
std::ostream &	operator<< (std::ostream &, FRA &)
	Overloads stream operator. More...

Detailed Description

Class implements a Forward Rate Agreement.

FRA is an OTC derivative instrument that trades as part of money markets. It is essentially a forward-starting loan, but with no exchange of principal, so that only the difference in interest rate is traded.

For more details see [3] and [31].

Examples:: bootstrapperComparison.cpp.

Constructor & Destructor Documentation

julian::FRA::FRA	(	Date	trade_date,
		Date	fixing_date,
		Date	value_date,
		Date	maturity_date,
		InterestRate	rate,
		double	notional,
		double	fixing,
		double	quoting
	)

constructor

Member Function Documentation

double julian::FRA::calibrate ( const SmartPointer< ir::Curve > & calibrated )

overridevirtual

Method calibrate is used by root finding estimator.

The estimator calibrates curve by finding the root of this method.

Implements julian::ir::BuildingBlock.

double julian::FRA::calibrate	(	const SmartPointer< ir::Curve > &	discounting,
		const SmartPointer< ir::Curve > &	projection,
		const SmartPointer< ir::Curve > &	calibrated
	)

overridevirtual

Method calibrate is used by root finding estimator.

The estimator calibrates curve by finding the root of this method.

Implements julian::ir::BuildingBlock.

void julian::FRA::changeQuoting ( double input )

overridevirtual

changes quoting of the FRA

Implements julian::ir::BuildingBlock.

FRA * julian::FRA::clone ( ) const

virtual

Virtual copy constructor.

Implements julian::LinearInstrument.

std::pair< CashFlowVector, CashFlowVector > julian::FRA::getCFs ( ) const

overridevirtual

Returns the sets of cashflows associated with FRA.

Note: Second Cash Flow Vector is empty

Implements julian::ir::BuildingBlock.

Date julian::FRA::getDate ( ) const

overridevirtual

returns maturity of FRA

Implements julian::ir::BuildingBlock.

InterestRate julian::FRA::getInterestRate ( ) const

overridevirtual

Returns interest rates convention of the benchmark instruments.

Implements julian::ir::BuildingBlock.

double julian::FRA::getParRate	(	const SmartPointer< ir::Curve > &	discounting,
		const SmartPointer< ir::Curve > &	projection,
		const SmartPointer< ir::Curve > &	projection2
	)

overridevirtual

Implies quoting of benchmark instrument from interest rate curves provided.

Implements julian::ir::BuildingBlock.

double julian::FRA::getQuoting ( )

overridevirtual

Returns quoting.

Implements julian::ir::BuildingBlock.

std::string julian::FRA::info ( ) const

overridevirtual

Returns a name of instrument: FRA.

Implements julian::ir::BuildingBlock.

double julian::FRA::price ( const SmartPointer< ir::Curve > & c )

overridevirtual

calculates price of FRA by summing the discounted CFs of fixed and floating leg

Method uses the same curve to estimate forward rates and different curve to calculate discount factors

Parameters

c	interest rates curve

Returns: returns the price of FRA

Implements julian::LinearInstrument.

double julian::FRA::price	(	const SmartPointer< ir::Curve > &	discounting,
		const SmartPointer< ir::Curve > &	projecting,
		const SmartPointer< ir::Curve > &	,
		const SmartPointer< ir::Curve > &
	)

overridevirtual

calculates price of FRA by summing the discounted CFs of fixed and floating leg

Method uses different curve to estimate forward rates and different curve to calculate discount factors

Parameters

discounting	discounting curve
projecting	projecting curve

Implements julian::LinearInstrument.

void julian::FRA::valuation ( const SmartPointer< ir::Curve > & c )

overridevirtual

prints price and CFs of FRA using the same curve for discounting and projecting forward rates

Implements julian::LinearInstrument.

void julian::FRA::valuation	(	const SmartPointer< ir::Curve > &	discounting1,
		const SmartPointer< ir::Curve > &	discounting2,
		const SmartPointer< ir::Curve > &	projecting1,
		const SmartPointer< ir::Curve > &	projecting2
	)

overridevirtual

prints price and CFs of FRA using different curve for discounting and projecting forward rates

Implements julian::LinearInstrument.

Friends And Related Function Documentation

std::ostream& operator<<	(	std::ostream &	s,
		FRA &	fra
	)

friend

Overloads stream operator.

This overloaded operator enables to print the curve on the console.

Member Data Documentation

CashFlowVector julian::FRA::fixed_leg_

private

Fixed cash flow.

double julian::FRA::fixing_

private

Determined fixing.

Date julian::FRA::fixing_date_

private

The date on which reference rate is determined.

CashFlowVector julian::FRA::floating_leg_

private

Cash flow dependent on market index.

Date julian::FRA::maturity_date_

private

The date on which the deposit expires.

double julian::FRA::notional_

private

The amount for which FRA is traded.

double julian::FRA::quote_

private

Interest rate at which FRA is traded.

InterestRate julian::FRA::rate_

private

Convention of interest rates.

Date julian::FRA::trade_date_

private

The date on which FRA is dealt.

Date julian::FRA::value_date_

private

The date on which the deposit of found becomes effective.

The documentation for this class was generated from the following files:

C:/Unix/home/OEM/jULIAN/src/instruments/linear/FRA.hpp
C:/Unix/home/OEM/jULIAN/src/instruments/linear/FRA.cpp

Public Member Functions

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation