Fwd Surp due to Curves

Subtype of Job Request

This is the part of the Forward Surprise described in
Forward Surprise due exclusively to the impact of the actual curves observed at the given horizon date T being different than what had been expected at the given spot date (denoted as 0).

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.

It is calculated as the difference:
(Horizon Price) - (Forward (Resets))
where the two terms are described at
Horizon Price and Forward (Resets)

Plugging H for the first term and Fᵣ for the second, we get:
H - Fᵣ

The remaining part of Forward Surprise is given by
Fwd Surp due to Resets