public ForwardRateAgreement(Date valueDate, Date maturityDate, Position.Type type, double strikeForwardRate,
double notionalAmount, IborIndex index, Handle <YieldTermStructure> discountCurve)
: base(
index.dayCounter(), index.fixingCalendar(), index.businessDayConvention(), index.fixingDays(), new Payoff(),
valueDate, maturityDate, discountCurve)
{
fraType_ = type;
notionalAmount_ = notionalAmount;
index_ = index;
Utils.QL_REQUIRE(notionalAmount > 0.0, () => "notional Amount must be positive");
// do I adjust this ?
Date fixingDate = calendar_.advance(valueDate_, -settlementDays_, TimeUnit.Days);
forwardRate_ = new InterestRate(index.fixing(fixingDate), index.dayCounter(), Compounding.Simple, Frequency.Once);
strikeForwardRate_ = new InterestRate(strikeForwardRate, index.dayCounter(), Compounding.Simple, Frequency.Once);
double strike = notionalAmount_ * strikeForwardRate_.compoundFactor(valueDate_, maturityDate_);
payoff_ = new ForwardTypePayoff(fraType_, strike);
// incomeDiscountCurve_ is irrelevant to an FRA
incomeDiscountCurve_ = discountCurve_;
// income is irrelevant to FRA - set it to zero
underlyingIncome_ = 0.0;
index_.registerWith(update);
}
protected override void performCalculations()
{
Utils.QL_REQUIRE(!discountCurve_.empty(), () => "no discounting term structure set to Forward");
ForwardTypePayoff ftpayoff = payoff_ as ForwardTypePayoff;
double fwdValue = forwardValue();
NPV_ = ftpayoff.value(fwdValue) * discountCurve_.link.discount(maturityDate_);
}