Bond forwards

instruments::BondForward is an additive Rust-core product. It retains a SharedMut<Bond> and prices without its own engine. The underlying bond must have an appropriate pricing engine. There are no new C, Go or Python bindings.

Construction and live inputs

• new uses the financing handle for both financing and income discounting. This is an explicit convenience, not a QuantLib empty-curve fallback.
• with_income_curve accepts a separate income curve.
• Both accept value date, delivery date, position, dirty strike, settlement days, day counter, calendar and delivery adjustment convention.
• Settings come from the retained bond. There is no competing evaluation-date source. Quote changes, curve relinks, bond-engine replacement and evaluation date changes invalidate previously computed results.
• Reference-date/today-flow flags do not notify observers, matching the existing Settings contract. After changing them, explicitly recalculate() the bond and forward if either has already been priced.
• Day counter is retained metadata, not an extra compounding convention.

Dates and quotes

Quantity	Convention
Forward settlement	Maximum of value date and evaluation date advanced by settlement business days; zero days rolls Following
Bond spot	Engine-priced Bond::dirty_price() at the bond's own settlement
Delivery	Adjusted using the forward calendar and convention
Income	All bond flows after forward settlement and on or before delivery
Dirty fair quote	(dirty spot quote - discounted income) / financing discount(delivery)
Clean fair quote	Dirty fair quote minus bond accrued quote at adjusted delivery
Long NPV	(dirty fair quote - dirty strike) * financing discount(delivery)
Short NPV	Negative long NPV

Curve discounts are used at their native reference date, not rebased to forward settlement. Income includes coupons, amortization and redemption. A payment on settlement is normally excluded; a payment on delivery is included. The actual cash-flow has_occurred rule is retained: the today-flow flag can override the explicit exclusion when settlement equals evaluation date.

Important upstream conventions

QuantLib subtracts raw currency cash-flow income from a spot quote per 100, without rescaling. This is dimensionally consistent for a non-amortizing face-100 bond only. Non-100 and amortizing inputs preserve the exact upstream result, including its mixed-unit behavior. This API does not silently repair it or reinterpret strike as a currency notional.

The upstream income loop does not exclude trading-ex-coupon payments. Spot pricing and accrued interest still obey the bond's own ex-coupon conventions. A clean strike is not accepted automatically: convert it to a dirty quote first.

Checked errors and expiry

Construction rejects null dates, nonfinite or negative strikes, delivery before value date after adjustment and unrepresentable business-day adjustments. Pricing rejects missing evaluation dates, borrowed underlying bonds, missing engines/curve links, out-of-range curve queries, nonpositive/nonfinite discounts, and nonfinite cash flows or results. Curves are not forcibly extrapolated.

NPV is zero once adjusted delivery has occurred at forward settlement, subject to the reference-date-event flag. Fair/clean price requests after expiry return an error instead of exposing QuantLib's uninitialized or stale price members. Inherited pricing engines, calendars and day counters retain their own limits; this product does not add exception-catching around arbitrary user callbacks.

Independent validation

The tracked generator under tests/fixtures/medium_bond_forward compares against compiled QuantLib 1.43, separately identifying the inspected source revision 9863b578af0caa4cecabf697196533e84a8308b6. The Rust tests bake the generated values and need no Python runtime. Cases distinguish all three curves, delivery coupon/redemption, value-date floors, positions, non-100/amortizing notionals, ex-coupon/today rules and live quote/relink/settings updates.