Forwards

Forward Rate Agreement

class ql.ForwardRateAgreement(valueDate, maturityDate, position, strikeForward, notional, iborIndex, discountCurve=ql.YieldTermStructureHandle())

fra = ql.ForwardRateAgreement(
    ql.Date(15,6,2020),
    ql.Date(15,12,2020),
    ql.Position.Long,
    0.01,
    1e6,
    ql.Euribor6M(yts),
    yts
)

.NPV()

.businessDayConvention()

.calendar()

.dayCounter()

.discountCurve()

.fixingDate()

.forwardRate()

.forwardValue()

.impliedYield(underlyingSpotValue, forwardValue, settlementDate, compoundingConvention, dayCounter)

.incomeDiscountCurve()

.isExpired()

.settlementDate()

.spotIncome(yts)

.spotValue()

FixedRateBondForward

class ql.FixedRateBondForward(valueDate, maturityDate, Position::Type, strike, settlementDays, dayCounter, calendar, businessDayConvention, FixedRateBond, yieldTermStructure=ql.YieldTermStructureHandle(), incomeDiscountCurve=ql.YieldTermStructureHandle())

Position:

ql.Position.Long
ql.Position.Short

valueDate = ql.Date(24, 6, 2020)
maturityDate = ql.Date(31, 5, 2032)
position = ql.Position.Long
strike = 100
settlementDays = 2
dayCounter = ql.Actual360()
calendar = ql.TARGET()
businessDayConvention = ql.Following
bond = ql.FixedRateBond(2, ql.TARGET(), 100.0, ql.Date(31, 5, 2032), ql.Date(30, 5, 2035), ql.Period('1Y'), [0.05], ql.ActualActual())
bond.setPricingEngine(engine)
fwd = ql.FixedRateBondForward(
    valueDate, maturityDate, position, strike, settlementDays,
    dayCounter , calendar, businessDayConvention, bond, yts, yts)