CompositeInstrument Class Reference

Composite instrument More...

#include <ql/instruments/compositeinstrument.hpp>

Inheritance diagram for CompositeInstrument:

Public Member Functions

void add (const boost::shared_ptr< Instrument > &instrument, Real multiplier=1.0)
 adds an instrument to the composite
 
void subtract (const boost::shared_ptr< Instrument > &instrument, Real multiplier=1.0)
 shorts an instrument from the composite
 
- Public Member Functions inherited from Instrument
virtual void setupArguments (PricingEngine::arguments *) const
 
virtual void fetchResults (const PricingEngine::results *) const
 
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename T >
result (const std::string &tag) const
 returns any additional result returned by the pricing engine.
 
const std::map< std::string,
boost::any > & 
additionalResults () const
 returns all additional result returned by the pricing engine.
 
void setPricingEngine (const boost::shared_ptr< PricingEngine > &)
 set the pricing engine to be used.
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Instrument interface

bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
void performCalculations () const
 

Additional Inherited Members

- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void setupExpired () const
 
- Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngineengine_
 
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 

Detailed Description

Composite instrument

This instrument is an aggregate of other instruments. Its NPV is the sum of the NPVs of its components, each possibly multiplied by a given factor.

Example: static replication of a down-and-out barrier option

Warning:
Methods that drive the calculation directly (such as recalculate(), freeze() and others) might not work correctly.
Examples:
Replication.cpp.

Member Function Documentation

void performCalculations ( ) const
protectedvirtual

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from Instrument.