InstrumentWrapper Class Reference

Instrument Wrapper. More...

#include <ored/portfolio/instrumentwrapper.hpp>

Inheritance diagram for InstrumentWrapper:

Public Member Functions
	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 >())
virtual void	initialise (const std::vector< QuantLib::Date > &dates)=0
	Initialise with the given date grid.
virtual void	reset ()=0
	reset is called every time a new path is about to be priced.
virtual QuantLib::Real	NPV () const =0
	Return the NPV of this instrument.
virtual const std::map< std::string, QuantLib::ext::any > &	additionalResults () const =0
	Return the additional results of this instrument.
QuantLib::Real	additionalInstrumentsNPV () const
virtual void	updateQlInstruments ()
	call update on enclosed instrument(s)
virtual bool	isOption ()
	is it an Option?
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 Member Functions
Real	getTimedNPV (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &instr) const

Protected Attributes
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

Detailed Description

Instrument Wrapper.

Wrap Instrument base class Derived classes should

• store instrument "state" for each scenario
• adjust the instrument pricing formula to account for state

Member Function Documentation

initialise()

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

pure virtual

Initialise with the given date grid.

Implemented in BondPositionInstrumentWrapper, CompositeInstrumentWrapper, OptionWrapper, and VanillaInstrument.

reset()

virtual void reset ( )

pure virtual

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

Implemented in BondPositionInstrumentWrapper, CompositeInstrumentWrapper, OptionWrapper, and VanillaInstrument.

NPV()

virtual QuantLib::Real NPV ( ) const

pure virtual

Return the NPV of this instrument.

Implemented in BarrierOptionWrapper, BondPositionInstrumentWrapper, CompositeInstrumentWrapper, OptionWrapper, and VanillaInstrument.

additionalResults()

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

pure virtual

Return the additional results of this instrument.

Implemented in BarrierOptionWrapper, BondPositionInstrumentWrapper, CompositeInstrumentWrapper, OptionWrapper, and VanillaInstrument.

updateQlInstruments()

virtual void updateQlInstruments ( )

virtual

call update on enclosed instrument(s)

Reimplemented in BondPositionInstrumentWrapper, CompositeInstrumentWrapper, and OptionWrapper.

isOption()

virtual bool isOption ( )

virtual

is it an Option?

Reimplemented in CompositeInstrumentWrapper, and OptionWrapper.

qlInstrument()

QuantLib::ext::shared_ptr< QuantLib::Instrument > qlInstrument

(

const bool

calculate = false

)

const

Inspectors.

The "QuantLib" instrument Pass true if you trigger a calculation on the returned instrument and want to record the timing for that calculation. If in doubt whether a calculation is triggered, pass false.

multiplier()

Real multiplier

(

)

const

The multiplier

multiplier2()

virtual Real multiplier2 ( ) const

virtual

multiplier to be applied on top of multiplier(), e.g. -1 for short options

Reimplemented in OptionWrapper.

additionalInstruments()

const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > & additionalInstruments

(

)

const

additional instruments

additionalMultipliers()

const std::vector< Real > & additionalMultipliers

(

)

const

multipliers for additional instruments