Forward (finmath lib 5.0.5 API)

java.lang.Object
- net.finmath.marketdata2.products.AbstractAnalyticProduct
- - net.finmath.marketdata2.products.Forward

All Implemented Interfaces:

AnalyticProduct, Product
```
public class Forward
extends AbstractAnalyticProduct
implements AnalyticProduct
```
Implements the valuation of a forward using curves (discount curve, forward curve). The forward value is simply the product of a discount factor and a forward. This is similar to a FRA (a forward rate), except that there is no scaling with a period length. The class can be used to define equity forwards. Here the discount curve can be interpreted as a repo curve.

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors
Constructor	Description
`Forward(double maturity, double paymentOffset, String forwardCurveName, double spread, String discountCurveName)`	Creates a forward.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`RandomVariable`	`getValue(double evaluationTime, AnalyticModel model)`	Return the valuation of the product using the given model.

Methods inherited from class net.finmath.marketdata2.products.AbstractAnalyticProduct
getValue, getValue

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface net.finmath.modelling.Product
getValue, getValues

- Constructor Detail
  - Forward
```
public Forward(double maturity,
               double paymentOffset,
               String forwardCurveName,
               double spread,
               String discountCurveName)
```
    Creates a forward. The forward has a unit notional of 1.
    
    Parameters:
    
    maturity - Maturity, i.e., fixing on the forward curve.
    
    paymentOffset - Payment offset, i.e. payment is maturity + paymentOffset.
    
    forwardCurveName - Name of the forward curve, leave empty if this is a fix payment.
    
    spread - Additional fixed payment (if any).
    
    discountCurveName - Name of the discount curve for the forward.
- Method Detail
  - getValue
```
public RandomVariable getValue(double evaluationTime,
                               AnalyticModel model)
```
    Description copied from interface: AnalyticProduct
    
    Return the valuation of the product using the given model. The model has to implement the modes of AnalyticModel.
    
    Specified by:
    
    getValue in interface AnalyticProduct
    
    Parameters:
    
    evaluationTime - The evaluation time as double. Cash flows prior and including this time are not considered.
    
    model - The model under which the product is valued.
    
    Returns:
    
    The value of the product using the given model.