Model[Fxd Rate Bond Fwd]


"Model[Fxd Rate Bond Fwd]" is a special type of Model
aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa
with functions Model[Fxd Rate Bond Fwd] Functions, keys Model[Fxd Rate Bond Fwd] keys and example object FxdBndFwdMdl

TYPE INCLUSION RELATIONSHIPS

Model Fwd Contract

Model Fxd Rate Bond Fwd

</defs>

AVAILABLE FUNCTIONS

Create

</defs>

AVAILABLE CREATE FUNCTION KEYS

Disc Crv Issuer

Income Crv Issuer

</defs>

TYPICAL OBJECTS OF TYPE Model[Fxd Rate Bond Fwd]

FxdBndFwdMdl

</defs>

This type represents modelling assumptions relating to the type Fxd Rate Bond Fwd that may be needed during some valuation algorithm.
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 labels may be assigned to the key Output of the Price function in order for the latter to return the respective quantities.
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 - also known as NPV (Net Present Value) - of the referenced tradable as of the trade date
Note the applicable trade date equals the global trade date, except if overridden by the optional entry 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.