Model[Fxd Rate Bond Fwd]


"Model[Fxd Rate Bond Fwd]" is a special type of
Model with functions Model[Fxd Rate Bond Fwd] Functions, keys Model[Fxd Rate Bond Fwd] keys and example object FxdBndFwdMdl that represents all modelling assumptions needed in valuation algorithms concerning objects of type Fxd Rate Bond Fwd.
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.
It is possible to choose any specific yield curve for discounting the income flows by specifying an optional
Issuer that matches the issuer of that specific curve.
It is similarly possible to choose any specific yield curve for discounting all other non-income flows by specifying an optional Issuer that matches the issuer of that specific curve.

The following quantities may be also calculated and reported along the price.
List of valid values:
Clean Fwd Price
Refers to the output of QuantLib's cleanForwardPrice function.
Any coupon accrual as of the forward maturity is subtracted.


Fwd Price
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.


Price
The output is a number that represents the price of the referenced tradable, which is the present value of all expected future cash flows, whereby "today" represents the currently set global valuation (trade) date or its overwrite through the
As Of.
The cash flows occurring on the trade date are included only if
Trade Date CFs is set to TRUE


Settle Date
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.


Spot Value
Refers to the output of QuantLib's spotValue function.
NPV of underlying bond.