QuantLib_Instrument man page

Instrument — Abstract instrument class.

Synopsis

#include <ql/instrument.hpp>

Inherits LazyObject.

Inherited by Bond, CapFloor, CDO, Commodity, CompositeInstrument, CPICapFloor, CreditDefaultSwap, Forward, NthToDefault, Option, PathMultiAssetOption, RiskyAssetSwap, RiskyAssetSwapOption, RiskyBond, Stock, Swap, SyntheticCDO, VarianceOption, VarianceSwap, and YoYInflationCapFloor.

Public Member Functions

virtual void setupArguments (PricingEngine::arguments *) const

virtual void fetchResults (const PricingEngine::results *) const

Inspectors

Real NPV () const
returns the net present value of the instrument.
Real errorEstimate () const
returns the error estimate on the NPV when available.
const Date & valuationDate () const
returns the date the net present value refers to.
template<typename T > 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.
virtual bool isExpired () const =0
returns whether the instrument might have value greater than zero.

Modifiers

void setPricingEngine (const boost::shared_ptr< PricingEngine > &)
set the pricing engine to be used.

Protected Member Functions

Calculations

void calculate () const

virtual void setupExpired () const

virtual void performCalculations () const

Protected Attributes

boost::shared_ptr< PricingEngine > engine_

Results
The value of this attribute and any other that derived classes might declare must be set during calculation.

Real NPV_

Real errorEstimate_

Date valuationDate_

std::map< std::string, boost::any > additionalResults_

Additional Inherited Members

Detailed Description

Abstract instrument class.

This class is purely abstract and defines the interface of concrete instruments which will be derived from this one.

Tests

observability of class instances is checked.

Member Function Documentation

void setPricingEngine (const boost::shared_ptr< PricingEngine > & e)

set the pricing engine to be used.

Warning

calling this method will have no effects in case the performCalculation method was overridden in a derived class.

Examples: BermudanSwaption.cpp, Bonds.cpp, CallableBonds.cpp, CDS.cpp, ConvertibleBonds.cpp, EquityOption.cpp, Replication.cpp, and swapvaluation.cpp.

void setupArguments (PricingEngine::arguments *) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented in Bond, CallableFixedRateBond, SyntheticCDO, CPISwap, ContinuousPartialFixedLookbackOption, CreditDefaultSwap, FloatFloatSwap, ZeroCouponInflationSwap, VanillaSwap, NthToDefault, YearOnYearInflationSwap, NonstandardSwap, EnergyCommodity, CPICapFloor, ContinuousPartialFloatingLookbackOption, AssetSwap, CallableBond, Swaption, IrregularSwap, YoYInflationCapFloor, CapFloor, DiscreteAveragingAsianOption, VarianceSwap, VanillaSwingOption, ContinuousFixedLookbackOption, VarianceOption, Swap, IrregularSwaption, DividendVanillaOption, ForwardVanillaOption, CdsOption, CliquetOption, WriterExtensibleOption, NonstandardSwaption, MultiAssetOption, HimalayaOption, PagodaOption, BarrierOption, DoubleBarrierOption, PathMultiAssetOption, DividendBarrierOption, FloatFloatSwaption, ContinuousAveragingAsianOption, TwoAssetBarrierOption, VanillaStorageOption, CompoundOption, MargrabeOption, ContinuousFloatingLookbackOption, SimpleChooserOption, and Option.

void fetchResults (const PricingEngine::results * r) const [virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented in Bond, SyntheticCDO, CPISwap, CreditDefaultSwap, FloatFloatSwap, ZeroCouponInflationSwap, VanillaSwap, NthToDefault, YearOnYearInflationSwap, NonstandardSwap, EnergyCommodity, CPICapFloor, AssetSwap, IrregularSwap, VarianceSwap, QuantoVanillaOption, Swap, OneAssetOption, ForwardVanillaOption, MultiAssetOption, QuantoDoubleBarrierOption, QuantoBarrierOption, MargrabeOption, and QuantoForwardVanillaOption.

void calculate () const [protected], [virtual]

This method performs all needed calculations by calling the performCalculations method.

Warning

Objects cache the results of the previous calculation. Such results will be returned upon later invocations of calculate. When the results depend on arguments which could change between invocations, the lazy object must register itself as observer of such objects for the calculations to be performed again when they change.

Warning

Should this method be redefined in derived classes, LazyObject::calculate() should be called in the overriding method.

Reimplemented from LazyObject.

void setupExpired () const [protected], [virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented in CreditDefaultSwap, Bond, Swap, RiskyBond, VarianceSwap, OneAssetOption, PathMultiAssetOption, and MultiAssetOption.

void performCalculations () const [protected], [virtual]

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.

Implements LazyObject.

Reimplemented in FixedRateBondForward, Forward, RiskyBond, ConvertibleBond, CompositeInstrument, EnergyVanillaSwap, EnergyBasisSwap, EnergyFuture, and Stock.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

additionalResults(3), additionalResults_(3), errorEstimate_(3), NPV(3), NPV_(3), result(3), valuationDate(3) and valuationDate_(3) are aliases of QuantLib_Instrument(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib