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Model[Fixed_Rate_Bond_Forward]"Model[Fixed Rate Bond Forward]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type Fixed Rate Bond Forward.
In general, the riskless Yield Curve found in the supplied market data is used for discounting the underlying itself as well as any income flows - such as dividends - that are missed due to occurring before the forward maturity.
Nevertheless the user is able to specify here an optional Issuer that identifies the yield curve to be used exclusively for discounting such flows.
The following quantities may be also calculated and reported along the price.
Clean Forward Price
Refers to the output of QuantLib's cleanForwardPrice function.
Any coupon accrual as of the forward maturity is subtracted.
Refers to the output of QuantLib's forwardPrice function.
Refers to the dirty forward price. Any coupon accrual as of the forward maturity is ignored.
The output refers to the price of the referenced tradable contract.
Refers to the output of QuantLib's settlementDate function.
Refers to the date the forward contract comes into life and any related repo rate starts accruing.
Refers to the output of QuantLib's spotValue function.
NPV of underlying bond.