Re: [Quantlib-users] How to construct the term structure for Forward quote

[Luigi B. <lui...@gm...>]

Hi Daniel,
    assuming r and q in the formula map into your riskFreeCurve and
yieldCurve, respectively, I'd say your forward price at date d is

spot * yieldCurve.discount(d) / riskFreeCurve.discount(d)

(because, e.g., riskFreeCurve.discount(d) will give you the exp(-r*t) term.)

Luigi


On Sun, Nov 22, 2020 at 1:10 PM Daniel Lobo <dan...@gm...> wrote:

> Upon searching the Internet I found this spec.
>
> https://quantlib-python-docs.readthedocs.io/en/latest/instruments/forwards.html?highlight=forwardRate#ql.ForwardRateAgreement..forwardRate
>
> However this seems to calculate the Forward interest rate implied by
> FRA. This is not what I was looking for. I wanted to calculate the
> Forward price typically calculated by the formula Spot multiplied by
> Cost of carry (https://en.wikipedia.org/wiki/Forward_price)
>
> Any further pointer will be highly appreciated
>
> On Sun, 22 Nov 2020 at 16:45, Amine Ifri <ami...@gm...> wrote:
> >
> > Daniel,
> >
> > I believe Quantlib has class method called forwardRate(date t1, date t2)
> if my memory serves me well.
> >
> >
> >
> > Amine Ifri
> >
> > > On 22 Nov 2020, at 10:47, Daniel Lobo <dan...@gm...> wrote:
> > >
> > > Hi,
> > >
> > > I have below information -
> > >
> > > import QuantLib as ql
> > >
> > > today = ql.Date(7, ql.March, 2014)
> > > ql.Settings.instance().evaluationDate = today
> > > u = ql.SimpleQuote(100.0)
> > > r1 = ql.SimpleQuote(0.01)
> > > yield = ql.SimpleQuote(0.02)
> > > sigma = ql.SimpleQuote(0.20)
> > > riskFreeCurve = ql.FlatForward(
> > > 0,
> > > ql.TARGET(),
> > > ql.QuoteHandle(r1),
> > > ql.Actual360())
> > > yieldCurve = ql.FlatForward(
> > > 0,
> > > ql.TARGET(),
> > > ql.QuoteHandle(yield),
> > > ql.Actual360())
> > >
> > > Given this information, I want to calculate the Term structure of the
> > > Forward quotes for different dates in futures.
> > >
> > > Can you please help me if QuantLib has any method to perform the same?
> > >
> > > Many thanks for your time.
> > >
> > >
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>
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