CompositeInstrumentWrapper Class Reference

Composite Instrument Wrapper. More...

#include <ored/portfolio/compositeinstrumentwrapper.hpp>

Inheritance diagram for CompositeInstrumentWrapper:

Public Member Functions
	CompositeInstrumentWrapper (const std::vector< QuantLib::ext::shared_ptr< InstrumentWrapper > > &wrappers, const std::vector< Handle< Quote > > &fxRates={}, const Date &valuationDate=Date())
void	initialise (const std::vector< QuantLib::Date > &dates) override
	Initialise with the given date grid.
void	reset () override
	reset is called every time a new path is about to be priced.
QuantLib::Real	NPV () const override
	Return the NPV of this instrument.
const std::map< std::string, QuantLib::ext::any > &	additionalResults () const override
	Return the additional results of this instrument.
void	updateQlInstruments () override
	call update on enclosed instrument(s)
bool	isOption () override
	is it an Option?
Public Member Functions inherited from InstrumentWrapper
	InstrumentWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const Real multiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())
QuantLib::Real	additionalInstrumentsNPV () const
QuantLib::ext::shared_ptr< QuantLib::Instrument >	qlInstrument (const bool calculate=false) const
	Inspectors.
Real	multiplier () const
virtual Real	multiplier2 () const
const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	additionalInstruments () const
const std::vector< Real > &	additionalMultipliers () const
boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing.
std::size_t	getNumberOfPricings () const
	Get number of pricings.
void	resetPricingStats () const
	Reset pricing statistics.

Protected Attributes
bool	isOption_
std::vector< QuantLib::ext::shared_ptr< InstrumentWrapper > >	wrappers_
std::vector< QuantLib::Handle< Quote > >	fxRates_
Date	valuationDate_
std::map< std::string, QuantLib::ext::any >	additionalResults_
Protected Attributes inherited from InstrumentWrapper
QuantLib::ext::shared_ptr< QuantLib::Instrument >	instrument_
Real	multiplier_
std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >	additionalInstruments_
std::vector< Real >	additionalMultipliers_
std::size_t	numberOfPricings_ = 0
boost::timer::nanosecond_type	cumulativePricingTime_ = 0

Additional Inherited Members
Protected Member Functions inherited from InstrumentWrapper
Real	getTimedNPV (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &instr) const

Detailed Description

Composite Instrument Wrapper.

A Composite Instrument Wrapper will return the sum npv for all wrappers passed in. Notice that qlInstrument() will return a nullptr.

Member Function Documentation

initialise()

void initialise ( const std::vector< QuantLib::Date > & dates )

overridevirtual

Initialise with the given date grid.

Implements InstrumentWrapper.

reset()

void reset ( )

overridevirtual

reset is called every time a new path is about to be priced.

For path dependent Wrappers, this is when internal state should be reset

Implements InstrumentWrapper.

NPV()

QuantLib::Real NPV ( ) const

overridevirtual

Return the NPV of this instrument.

Implements InstrumentWrapper.

additionalResults()

const std::map< std::string, QuantLib::ext::any > & additionalResults ( ) const

overridevirtual

Return the additional results of this instrument.

Implements InstrumentWrapper.

updateQlInstruments()

void updateQlInstruments ( )

overridevirtual

call update on enclosed instrument(s)

Reimplemented from InstrumentWrapper.

isOption()

bool isOption ( )

overridevirtual

is it an Option?

Reimplemented from InstrumentWrapper.