Forward Price

Subtype of Job Request

The forward price F of the referenced tradable observed at the given spot date (denoted as 0) wrt a maturity equal to the given horizon date T specified in
Horizon Date

It is also part of the PnL Explain table
PnLExplain Table that is produced in association with the key PnL Explain when a tradable is priced with the Advanced Pricing model input.

By default, the spot date equals the globally set trade date ( i.e. valuation date) that usually equals today's date.
But if the
As Of entry to the function Price exists, the latter date is then regarded as the spot date.
It is represented by the time 0 in the documentation context of
Advanced Pricing

Precisely, F represents an amount payable at T and defined as the amount one agrees at 0 to pay at the maturity date T in order to acquire the tradable at T
It turns out, it equals the sum of the present values as of T of the tradable's cash flows CFᵢ occurring after T
Formally:
F = (1/P)Σ(CFᵢPᵢ)
where:
CFᵢ are all forecasted cash flows occurring at times Tᵢ such as Tᵢ > T, as implied by the market information available at 0
Pᵢ are the respective discount factors, i.e. the discount factors seen at 0 with maturities Tᵢ
P is the funding discount factor seen at 0 with maturity T, as implied by the curve associated with the issuer supplied in
Fund Crv Issuer

In words, all cash flows CFᵢ are discounted down to 0 and then their sum Σ(CFᵢPᵢ) is compounded forward to T using the discount factor P

One may also define an equivalent forward amount that is assumed to be payable at 0 and be equal to the product F*P = Σ(CFᵢPᵢ)

Apart from an exception mentioned below, all floating rates are assumed equal to their forecast forward values observed at 0

The cash flows occurring on the horizon date are included only if
Trade Date CFs is set to TRUE

If the threshold date Tᵣ for assumed known fixings is specified in
Fxd Resets Before, all floating rate fixings before Tᵣ are not implied by the provided curves but rather read from a supplied object of type Historical Values