webcab.lib.finance.futures
Class Forwards

java.lang.Object
  |
  +--webcab.lib.finance.futures.Forwards

All Implemented Interfaces:

Serializable

public class Forwards

extends Object

implements Serializable

Within this class we consider the evaluation of forward contracts and the cash flow implications.

See Also:

Serialized Form

Constructor Summary

Forwards()
Creates a new instance.

Method Summary

int	aggregatePosition(int shortContracts, int longContracts) Calculates the aggregate number of futures contract held.
double	forwardLongPayOff(double deliveryPrice, double price, double contractSize, double numberHeld) This function calculates the pay-off from a long forward position at expiry.
double	forwardOnCurrencies(double exchangeRate, double deliveryFX, double riskFreeForeign, double riskFreeBase, Date evaluationDate, Date maturity, BusinessCalendar businessCalendar) Returns the value of a forward foreign exchange contract.
double	forwardOnCurrencies(double exchangeRate, double deliveryFX, double riskFreeForeign, double riskFreeBase, double timeToMaturity) Returns the value of a forward foreign exchange contract.
double	forwardShortPayOff(double deliveryPrice, double price, double contractSize, double numberHeld) This function calculates the pay-off from a short forward position at expiry.
double	longForward(double price, double deliveryPrice, double yield, double riskFree, Date evaluationDate, Date maturity, BusinessCalendar businessCalendar) Evaluates the value of an long forward contract.
double	longForward(double price, double deliveryPrice, double yield, double riskFree, double timeToMaturity) Evaluates the value of an long forward contract.
double	shortForward(double price, double deliveryPrice, double yield, double riskFree, Date evaluationDate, Date maturity, BusinessCalendar businessCalendar) Evaluates the value of an short forward contract.
double	shortForward(double price, double deliveryPrice, double yield, double riskFree, double timeToMaturity) Evaluates the value of an short forward contract.

Methods inherited from class java.lang.Object

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

Constructor Detail

Forwards

public Forwards()

Creates a new instance.

Method Detail

aggregatePosition

public int aggregatePosition(int shortContracts,
                             int longContracts)
                      throws ForwardsDemoException

Calculates the aggregate number of futures contract held.

Parameters:

shortContracts - the number of future contracts sold short

longContracts - the number of future contracts bought

ForwardsDemoException

forwardLongPayOff

public double forwardLongPayOff(double deliveryPrice,
                                double price,
                                double contractSize,
                                double numberHeld)
                         throws ForwardsDemoException

This function calculates the pay-off from a long forward position at expiry.

Parameters:

deliveryPrice - the price at which the asset is delivered

price - the price of the futures contract at expiry

contractSize - the number of underlying assets which are brought by exercising a futures contract

numberHeld - the number of futures held by the investor at expiry

ForwardsDemoException

forwardShortPayOff

public double forwardShortPayOff(double deliveryPrice,
                                 double price,
                                 double contractSize,
                                 double numberHeld)
                          throws ForwardsDemoException

This function calculates the pay-off from a short forward position at expiry.

Parameters:

deliveryPrice - the price at which the asset is delivered

price - the price when the futures contract expires

contractSize - the number of underlying assets which are brought by exercising a futures contract

numberHeld - the number of futures held by the investor at expiry

ForwardsDemoException

longForward

public double longForward(double price,
                          double deliveryPrice,
                          double yield,
                          double riskFree,
                          Date evaluationDate,
                          Date maturity,
                          BusinessCalendar businessCalendar)
                   throws ForwardsDemoException

Evaluates the value of an long forward contract.

Parameters:

price - the price of the underlying asset

deliveryPrice - the delivery price at which the underlying asset must be delivered

yield - the yield of the underlying asset

riskFree - the risk free interest rate

evaluationDate - the date when the forward contracts value is evaluated

maturity - the date when the forward contract matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

ForwardsDemoException

longForward

public double longForward(double price,
                          double deliveryPrice,
                          double yield,
                          double riskFree,
                          double timeToMaturity)
                   throws ForwardsDemoException

Evaluates the value of an long forward contract.

Parameters:

price - the price of the underlying asset

deliveryPrice - the delivery price at which the underlying asset must be delivered

yield - the yield of the underlying asset

riskFree - the risk free interest rate

timeToMaturity - the time until the futures contract expires

ForwardsDemoException

shortForward

public double shortForward(double price,
                           double deliveryPrice,
                           double yield,
                           double riskFree,
                           Date evaluationDate,
                           Date maturity,
                           BusinessCalendar businessCalendar)
                    throws ForwardsDemoException

Evaluates the value of an short forward contract.

Parameters:

price - the price of the underlying asset

deliveryPrice - the delivery price at which the underlying asset must be delivered

yield - the yield of the underlying asset

riskFree - the risk free interest rate

evaluationDate - the date when the forward contract's value is evaluated

maturity - the date when the forward contract matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

ForwardsDemoException

shortForward

public double shortForward(double price,
                           double deliveryPrice,
                           double yield,
                           double riskFree,
                           double timeToMaturity)
                    throws ForwardsDemoException

Evaluates the value of an short forward contract.

Parameters:

price - the price of the underlying asset

deliveryPrice - the delivery price at which the underlying asset must be delivered

yield - the yield of the underlying asset

riskFree - the risk free interest rate

timeToMaturity - the time until the futures contract expires

ForwardsDemoException

forwardOnCurrencies

public double forwardOnCurrencies(double exchangeRate,
                                  double deliveryFX,
                                  double riskFreeForeign,
                                  double riskFreeBase,
                                  Date evaluationDate,
                                  Date maturity,
                                  BusinessCalendar businessCalendar)
                           throws ForwardsDemoException

Returns the value of a forward foreign exchange contract.

Parameters:

exchangeRate - the exchange rate between the two currencies

deliveryFX - the exchange rate at which the forward contract will be settled

riskFreeBase - the risk free interest rate in the domestic currency

riskFreeForeign - the risk free interest rate in the foreign currency

evaluationDate - the date when the forward foreign exchange contract's value is evaluated

maturity - the date when the forward foreign exchange contract matures

businessCalendar - The instance of a BusinessCalendar interface implementation. Specify null to select the London business calendar.

ForwardsDemoException

forwardOnCurrencies

public double forwardOnCurrencies(double exchangeRate,
                                  double deliveryFX,
                                  double riskFreeForeign,
                                  double riskFreeBase,
                                  double timeToMaturity)
                           throws ForwardsDemoException

Returns the value of a forward foreign exchange contract.

Parameters:

exchangeRate - the exchange rate between the two currencies

deliveryFX - the exchange rate at which the forward contract will be settled

riskFreeBase - the risk free interest rate in the domestic currency

riskFreeForeign - the risk free interest rate in the foreign currency

timeToMaturity - the time to maturity of the futures contract

ForwardsDemoException