The rolled price R 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
Web blog example here
By default, the spot date equals the globally set trade date ( i.e. valuation date) that usually equals today's date.
But if the entry to the function exists, the latter date is then regarded as the spot date.
It is represented by the time 0 in the documentation context of
This is defined similarly to the tradable's forward price returned by , with the difference being that the forecast floating rates and discount factors are calculated by shifting the original curves to the future so that they start at T and still have the same shape (relative to T) as they have relative to 0
The difference R - S between R and the spot price S is also reported as Roll-Down
If the threshold date Tᵣ for assumed known fixings is specified in , all floating rate fixings before Tᵣ are not implied by the provided curves but rather read from a supplied object of type