5.86 pricing_forward

Function File: [theo_value ] = pricing_forward (valuation_date, forward, discount_curve_object, underlying_object, und_curve_object,fx)

Compute the theoretical value and price of FX, equity and bond forwards and futures.

Input and output variables:

• valuation_date: valuation date
• forward: forward object
• discount_curve_object: discount curve for forward
• underlying_object: underlying object of forward
• und_curve_object: discount curve object of underlying object
• fx: fx object with currency conversion rate between forward and underlying currency

See also: timefactor, discount_factor, convert_curve_rates.