:: GenIborIndex ibor
-> Day	valueDate
-> Day	maturityDate
-> PositionType
-> Double	strikeForwardRate
-> Double	notionalAmount
-> Maybe (GenYieldTermStructure y)	discountCurve
-> IO ForwardRateAgreement

FRA with a par-rate approximation: the forward rate is forecast from valueDate to maturityDate by the index's forecast curve (useIndexedCoupon=false).

bondForward Source #

Arguments

:: Day	valueDate
-> Day	maturityDate
-> PositionType
-> Double	strike
-> Word	settlementDays
-> DayCounter
-> Calendar
-> BusinessDayConvention
-> GenBond b
-> Maybe (GenYieldTermStructure y1)	discountCurve
-> Maybe (GenYieldTermStructure y2)	incomeDiscountCurve
-> IO BondForward

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.

fxForward Source #

Arguments

:: Double	sourceNominal
-> Currency	sourceCurrency
-> Double	targetNominal
-> Currency	targetCurrency
-> Day	maturityDate
-> Bool	paySourceCurrency
-> Word	settlementDays
-> Calendar	paymentCalendar
-> IO FxForward

FX forward using nominal amounts in both currencies.

fxForwardFromRate Source #

Arguments

:: Double	sourceNominal
-> Currency	sourceCurrency
-> Currency	targetCurrency
-> Double	forwardRate
-> Day	maturityDate
-> Bool	paySourceCurrency
-> Word	settlementDays
-> Calendar	paymentCalendar
-> IO FxForward

FX forward using a source nominal amount and a contracted forward rate (target/source).

Inspectors

cleanForwardPrice :: BondForward -> IO Double Source #

(dirty) forward bond price minus accrued on bond at delivery

forwardPrice :: BondForward -> IO Double Source #

(dirty) forward bond price

forwardValue :: GenForward f -> IO Double Source #

forward valueprice of underlying, discounting incomedividends if this is a bond forward price, is must be a dirty forward price.

impliedYield Source #

Arguments

:: GenForward f
-> Double	underlyingSpotValue
-> Double	forwarValue
-> Day	settlementDate
-> Compounding
-> DayCounter
-> IO InterestRate

Simple yield calculation based on underlying spot and forward values, taking into account underlying income. When $ t>0 $, call with: underlyingSpotValue=spotValue(t), forwardValue=strikePrice, to get current yield. For a repo, if $ t=0 $, impliedYield should reproduce the spot repo rate. For FRA's, this should reproduce the relevant zero rate at the FRA's maturityDate_;

settlementDate :: GenForward f -> IO Day Source #

Date on which the forward contract settles.

spotIncome :: GenForward f -> GenYieldTermStructure y -> IO Double Source #

NPV of incomedividendsstorage-costs etc. of underlying instrument.

spotValue :: GenForward f -> IO Double Source #

returns spot value/price of an underlying financial instrument

amount :: ForwardRateAgreement -> IO Double Source #

The payoff on the value date: the discounted difference between the FRA's forward rate and its strike (contract) rate, scaled by the notional and accrual, negated for a short position.

forwardRate :: ForwardRateAgreement -> IO InterestRate Source #

Returns the relevant forward rate associated with the FRA term.

fxForwardRate :: FxForward -> Double Source #

The contracted forward exchange rate (target/source), computed as targetNominal / sourceNominal -- distinct from fairForwardRate, the market-implied rate.

fairForwardRate :: FxForward -> IO Double Source #

The market-implied fair forward rate, computed by the pricing engine.

npvSourceCurrency :: FxForward -> IO Double Source #

NPV in source currency terms.

npvTargetCurrency :: FxForward -> IO Double Source #

NPV in target currency terms.