Instrument Class Reference

Abstract instrument class. More...

#include <ql/instrument.hpp>

Inheritance diagram for Instrument:

Public Member Functions
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 ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...
virtual void	setupArguments (PricingEngine::arguments *) const
virtual void	fetchResults (const PricingEngine::results *) const
Public Member Functions inherited from LazyObject
void	update ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
void	alwaysForwardNotifications ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Protected Member Functions
Calculations
void	calculate () const
virtual void	setupExpired () const
virtual void	performCalculations () const
Protected Member Functions inherited from LazyObject

Protected Attributes
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_
ext::shared_ptr< PricingEngine >	engine_
Protected Attributes inherited from LazyObject
bool	calculated_
bool	frozen_
bool	alwaysForward_

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator

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

setPricingEngine()

void setPricingEngine

(

const ext::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.

setupArguments()

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

fetchResults()

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

calculate()

void calculate ( ) const

protectedvirtual

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.

setupExpired()

void setupExpired ( ) const

protectedvirtual

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

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

performCalculations()

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.

Implements LazyObject.

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