4.4 Forward.help

Octarisk Class: object = Forward(id)

Octarisk Class: object = Forward()

Class for setting up Forward and Future objects. Possible underlyings are bonds, equities and FX rates. Therefore the following Forward types are introduced:

• Bond: Forward on bond underlyings. Underlying instrument will be priced incl. accrued interest.
• Equity: Forward on equity underlyings like stocks or equity funds. Only Continuous dividends are possible.
• FX: Forward on currencies. Price is depending on underlying price and foreign and domestic discount factors.
• EquityFuture: Standardized contract on equity underlyings. A net basis can be specified.
• BondFuture: Standardized contract on Bond underlyings. A net basis can be specified.

In the following, all methods and attributes are explained and a code example is given.

Methods for Forward object obj:

• Forward(id) or Forward(): Constructor of a Forward object. id is optional and specifies id and name of new object.
• obj.set(attribute,value): Setter method. Provide pairs of attributes and values. Values are checked for format and constraints.
• obj.get(attribute): Getter method. Query the value of specified attribute.
• obj.calc_value(valuation_date,scenario, discount_curve_object, underlying_object, und_curve_object) Calculate the value of Forwards based on valuation date, scenario type, discount curve and underlying instruments. Underlying discount curve und_curve_object is used for Forwards on Bond or FX rates only.
• obj.getValue(scenario): Return Forward value for given scenario. Method inherited from Superclass Instrument
• obj.calc_sensitivities(valuation_date, discount_curve_object, underlying_object, und_curve_object) Calculate sensitivities (the Greeks) of all Forward and Future by numeric approximation.
• Forward.help(format,returnflag): show this message. Format can be [plain text, html or texinfo]. If empty, defaults to plain text. Returnflag is boolean: True returns documentation string, false (default) returns empty string. [static method]

Attributes of Forward objects:

• id: Instrument id. Has to be unique identifier. (Default: empty string)
• name: Instrument name. (Default: empty string)
• description: Instrument description. (Default: empty string)
• value_base: Base value of instrument of type real numeric. (Default: 0.0)
• currency: Currency of instrument of type string. (Default: ’EUR’) During instrument valuation and aggregation, FX conversion takes place if corresponding FX rate is available.
• asset_class: Asset class of instrument. (Default: ’derivative’)
• type: Type of instrument, specific for class. Set to ’Forward’.
• value_stress: Line vector with instrument stress scenario values.
• value_mc: Line vector with instrument scenario values. MC values for several timestep_mc are stored in columns.
• timestep_mc: String Cell array with MC timesteps. If new timesteps are set, values are automatically appended.
• issue_date: Issue date of Forward (date in format DD-MMM-YYYY)
• maturity_date: Maturity date of Forward (date in format DD-MMM-YYYY)
• day_count_convention: Day count convention of curve. See ’help get_basis’ for details (Default: ’act/365’)
• compounding_type: Compounding type. Can be continuous, discrete or simple. (Default: ’cont’)
• compounding_freq: Compounding frequency used for discrete compounding. Can be [daily, weekly, monthly, quarterly, semi-annual, annual]. (Default: ’annual’)
• strike_price: Strike price (Default: 0.0)
• underlying_id:ID of underlying object. (Default: ”)
• underlying_price_base: Underlying base price. Used only if underlying object is a risk factor. Risk factor shocks are applied to underlying base price. (Default: 0.0)
• underlying_sensitivity: Underlying sensitivity used only, if underlying object is a risk factor. Risk factor shocks are scaled by this sensitivity (Default: 1.0)
• discount_curve: Discount curve (Default: ’IR_EUR’)
• foreign_curve: Foreign curve, used for Bond and FX Forwards only (Default: ’IR_USD’)
• multiplier: Multiplier. Used to scale price and value of one constract. (Default: 1)
• dividend_yield: Dividend yield is part of total cost of carry. Used for Equity Forwards only. (Default: 0.0)
• convenience_yield: Convenience yield is part of total cost of carry. Used for Equity Forwards only. (Default: 0.0)
• storage_cost: Storage cost (yield) is part of total cost of carry. Used for Equity Forwards only. (Default: 0.0)
• spread: Unsued: Spread of Forward (Default: 0.0)
• cf_dates: Unused: Cash flow dates (Default: [])
• cf_values: Unused: Cash flow values (Default: [])
• component_weight: Used for Bond futures only. Scale future future price.
• net_basis: Net basis of futures. Used only, if calc_price_from_netbasis is set to true.
• calc_price_from_netbasis: Boolean Flag. True: use net_basis to calculate future price. (Default: false).
• theo_delta: Sensitivity to changes in underlying’s price. Calculated by method calc_sensitivities.
• theo_gamma: Sensitivity to changes in changes of underlying’s price. Calculated by method calc_sensitivities.
• theo_vega: Sensitivity to changes in volatility. Calculated by method calc_sensitivities.
• theo_theta: Sensitivity to changes in remaining days to maturity. Calculated by method calc_sensitivities.
• theo_rho: Sensitivity to changes in risk free rate. Calculated by method calc_sensitivities.
• theo_domestic_rho: Sensitivity to changes in domestic interest rate. Calculated by method calc_sensitivities.
• theo_foreign_rho: Sensitivity to changes in foreign interest rate. Calculated by method calc_sensitivities.
• theo_price: Forward price. Calculated by method calc_value.

For illustration see the following example: An equity forward with 10 years to maturity, an underlying index and a discount curve are set up and the forward value (-27.2118960639903) is calculated and retrieved:

c = Curve();
c = c.set('id','IR_EUR','nodes',[365,3650,7300]);
c = c.set('rates_base',[0.0001002070,0.0045624391,0.009346842]);
c = c.set('method_interpolation','linear');
i = Index();
i = i.set('value_base',326.900);
f = Forward();
f = f.set('name','EQ_Forward_Index_Test','maturity_date','26-Mar-2036');
f = f.set('strike_price',426.900);
f = f.set('compounding_freq','annual');
f = f.calc_value('31-Mar-2016','base',c,i);
f.getValue('base')

Dependencies of class: