def forward(self, t, curve):
'''
>>> #rough discount factor curve
>>> import math
>>> from ppf.date_time import *
>>> from ppf.math.interpolation import loglinear
>>> t = date(2008, Jan, 7) #valuation date
>>> times = range(0, 11)
>>> P = loglinear(times, [math.exp(-0.05*T) for T in times])
>>> for T in times: print "%d, %f" % (T, P(T))
0, 1.000000
1, 0.951229
2, 0.904837
3, 0.860708
4, 0.818731
5, 0.778801
6, 0.740818
7, 0.704688
8, 0.670320
9, 0.637628
10, 0.606531
>>> #construct a 3m libor forward
>>> L = libor_rate(None, 0, 0, t, "JPY", \
t, shift(t + months(3), modified_following), \
basis_act_360, fixing(False))
>>> print L.forward(t, P)
0.0496237244447
'''
from ppf.date_time import year_fraction
fix = self.fix()
if fix.is_fixed():
return fix.value()
start = self.__proj_start_date
end = self.__proj_end_date
Ts, Te = (int(start - t)/365.0, int(end - t)/365.0)
Ps, Pe = (curve(Ts), curve(Te))
dcf = year_fraction(start, end, self.__proj_basis)
forward = (Ps/Pe-1.0)/dcf
return forward
def year_fraction(self):
return year_fraction(
self.__accrual_start_date
, self.__accrual_end_date
, self.__accrual_basis)
def year_fraction(self): return year_fraction(self.__proj_start_date, self.__proj_end_date, self.__proj_basis)
def year_fraction(self):
return year_fraction(self.__accrual_start_date,
self.__accrual_end_date, self.__accrual_basis)
