com.github.vonrosen.quantlib

Class ForwardRateAgreement

java.lang.Object

com.github.vonrosen.quantlib.Instrument

com.github.vonrosen.quantlib.ForwardRateAgreement

public class ForwardRateAgreement
extends Instrument

Field Summary

Fields inherited from class com.github.vonrosen.quantlib.Instrument

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	ForwardRateAgreement(Date valueDate, Date maturityDate, Position.Type type, double strikeForwardRate, double notionalAmount, IborIndex index)
	ForwardRateAgreement(Date valueDate, Date maturityDate, Position.Type type, double strikeForwardRate, double notionalAmount, IborIndex index, YieldTermStructureHandle discountCurve)
protected	ForwardRateAgreement(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
void	delete()
protected void	finalize()
InterestRate	forwardRate()
protected static long	getCPtr(ForwardRateAgreement obj)
double	spotIncome(YieldTermStructureHandle discount)
double	spotValue()

Methods inherited from class com.github.vonrosen.quantlib.Instrument

__deref__, asObservable, errorEstimate, freeze, getCPtr, isExpired, isNull, NPV, recalculate, setPricingEngine, unfreeze

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ForwardRateAgreement

protected ForwardRateAgreement(long cPtr,
                               boolean cMemoryOwn)

ForwardRateAgreement

public ForwardRateAgreement(Date valueDate,
                            Date maturityDate,
                            Position.Type type,
                            double strikeForwardRate,
                            double notionalAmount,
                            IborIndex index,
                            YieldTermStructureHandle discountCurve)

ForwardRateAgreement

public ForwardRateAgreement(Date valueDate,
                            Date maturityDate,
                            Position.Type type,
                            double strikeForwardRate,
                            double notionalAmount,
                            IborIndex index)

Method Detail

getCPtr

protected static long getCPtr(ForwardRateAgreement obj)

finalize

protected void finalize()

Overrides:

finalize in class Instrument

delete

public void delete()

Overrides:

delete in class Instrument

spotIncome

public double spotIncome(YieldTermStructureHandle discount)

spotValue

public double spotValue()

forwardRate

public InterestRate forwardRate()