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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_instrument.html">Instrument</a></div>
<h1>Instrument Class Reference</h1><!-- doxytag: class="QuantLib::Instrument" --><!-- doxytag: inherits="QuantLib::LazyObject" --><code>#include <ql/instrument.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for Instrument:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_instrument__inherit__graph.png" border="0" usemap="#_instrument__inherit__map" alt="Inheritance graph"></center>
<map name="_instrument__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_bond.html" title="Base bond class." alt="" coords="5,161,59,188"><area shape="rect" href="class_quant_lib_1_1_cap_floor.html" title="Base class for cap-like instruments." alt="" coords="83,161,163,188"><area shape="rect" href="class_quant_lib_1_1_composite_instrument.html" title="Composite instrument" alt="" coords="187,161,349,188"><area shape="rect" href="class_quant_lib_1_1_forward.html" title="Abstract base forward class." alt="" coords="373,161,448,188"><area shape="rect" href="class_quant_lib_1_1_inflation_swap.html" title="Abstract base class for inflation swaps." alt="" coords="472,161,581,188"><area shape="rect" href="class_quant_lib_1_1_option.html" title="base option class" alt="" coords="605,161,669,188"><area shape="rect" href="class_quant_lib_1_1_stock.html" title="Simple stock class." alt="" coords="693,161,749,188"><area shape="rect" href="class_quant_lib_1_1_swap.html" title="Interest rate swap." alt="" coords="773,161,829,188"><area shape="rect" href="class_quant_lib_1_1_variance_swap.html" title="Variance swap." alt="" coords="853,161,965,188"><area shape="rect" href="class_quant_lib_1_1_lazy_object.html" title="Framework for calculation on demand and result caching." alt="" coords="480,7,573,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_instrument-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Abstract instrument class.
<p>
This class is purely abstract and defines the interface of concrete instruments which will be derived from this one.<p>
<dl compact><dt><b><a class="el" href="test.html#_test000004">Tests:</a></b></dt><dd>observability of class instances is checked. </dd></dl>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#ad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> (PricingEngine::arguments *) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#a0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> (const PricingEngine::results *) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5a137dafb316bb3644a8f92bbf4c1abb"></a><!-- doxytag: member="QuantLib::Instrument::NPV" ref="5a137dafb316bb3644a8f92bbf4c1abb" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb">NPV</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the net present value of the instrument. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cc5ad105e834e2360818b4f5046bd1f5"></a><!-- doxytag: member="QuantLib::Instrument::errorEstimate" ref="cc5ad105e834e2360818b4f5046bd1f5" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#cc5ad105e834e2360818b4f5046bd1f5">errorEstimate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the error estimate on the NPV when available. <br></td></tr>
<tr><td class="memTemplParams" nowrap colspan="2"><a class="anchor" name="3eb7f55f55ede26a256f350d6a0540fd"></a><!-- doxytag: member="QuantLib::Instrument::result" ref="3eb7f55f55ede26a256f350d6a0540fd" args="(const std::string &tag) const " -->
template<typename T> </td></tr>
<tr><td class="memTemplItemLeft" nowrap align="right" valign="top">T </td><td class="memTemplItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#3eb7f55f55ede26a256f350d6a0540fd">result</a> (const std::string &tag) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns any additional result returned by the pricing engine. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cf71758cad703eb3e151e4c9df184866"></a><!-- doxytag: member="QuantLib::Instrument::additionalResults" ref="cf71758cad703eb3e151e4c9df184866" args="() const " -->
const std::map< std::string,<br>
boost::any > & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#cf71758cad703eb3e151e4c9df184866">additionalResults</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns all additional result returned by the pricing engine. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="672af63d5c16d2597399475923d21ad0"></a><!-- doxytag: member="QuantLib::Instrument::isExpired" ref="672af63d5c16d2597399475923d21ad0" args="() const =0" -->
virtual bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#672af63d5c16d2597399475923d21ad0">isExpired</a> () const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument is still tradable. <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Modifiers</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#f259149d11ddda95328d6a41be778078">setPricingEngine</a> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > &)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">set the pricing engine to be used. <a href="#f259149d11ddda95328d6a41be778078"></a><br></td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Calculations</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#10873979f635888606e03f9cb2d8a096">calculate</a> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#1ea01b653cd3880c3e5d8bc34af412d3">setupExpired</a> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#02b90bbfee3ee29627939544fb59ec93">performCalculations</a> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ec8a3d48bdab47e807560f973bfa1569"></a><!-- doxytag: member="QuantLib::Instrument::engine_" ref="ec8a3d48bdab47e807560f973bfa1569" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > </td><td class="memItemRight" valign="bottom"><b>engine_</b></td></tr>
<tr><td colspan="2"><div class="groupHeader">Results</div></td></tr>
<tr><td colspan="2"><div class="groupText">The value of this attribute and any other that derived classes might declare must be set during calculation. <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bb995b099094913d099029f2fd3936b8"></a><!-- doxytag: member="QuantLib::Instrument::NPV_" ref="bb995b099094913d099029f2fd3936b8" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>NPV_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1e9067e3af34538ab0ff6d744ff712ca"></a><!-- doxytag: member="QuantLib::Instrument::errorEstimate_" ref="1e9067e3af34538ab0ff6d744ff712ca" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>errorEstimate_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="943dca9fb2114bd8a5fa4d5802ac6bba"></a><!-- doxytag: member="QuantLib::Instrument::additionalResults_" ref="943dca9fb2114bd8a5fa4d5802ac6bba" args="" -->
std::map< std::string, boost::any > </td><td class="memItemRight" valign="bottom"><b>additionalResults_</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="f259149d11ddda95328d6a41be778078"></a><!-- doxytag: member="QuantLib::Instrument::setPricingEngine" ref="f259149d11ddda95328d6a41be778078" args="(const boost::shared_ptr< PricingEngine > &)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
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<td class="memname">void setPricingEngine </td>
<td>(</td>
<td class="paramtype">const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > & </td>
<td class="paramname"> <em>e</em> </td>
<td> ) </td>
<td width="100%"></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
set the pricing engine to be used.
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000031">Warning:</a></b></dt><dd>calling this method will have no effects in case the <b>performCalculation</b> method was overridden in a derived class. </dd></dl>
</div>
</div><p>
<a class="anchor" name="ad6958108bfaef12bc4ccd6b3d7a7231"></a><!-- doxytag: member="QuantLib::Instrument::setupArguments" ref="ad6958108bfaef12bc4ccd6b3d7a7231" args="(PricingEngine::arguments *) const " -->
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<td class="memname">void setupArguments </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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.
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_continuous_averaging_asian_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">ContinuousAveragingAsianOption</a>, <a class="el" href="class_quant_lib_1_1_discrete_averaging_asian_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">DiscreteAveragingAsianOption</a>, <a class="el" href="class_quant_lib_1_1_asset_swap.html#769a037255393b166557200edad61038">AssetSwap</a>, <a class="el" href="class_quant_lib_1_1_barrier_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">BarrierOption</a>, <a class="el" href="class_quant_lib_1_1_bond.html#ad6958108bfaef12bc4ccd6b3d7a7231">Bond</a>, <a class="el" href="class_quant_lib_1_1_cap_floor.html#ad6958108bfaef12bc4ccd6b3d7a7231">CapFloor</a>, <a class="el" href="class_quant_lib_1_1_cliquet_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">CliquetOption</a>, <a class="el" href="class_quant_lib_1_1_dividend_vanilla_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">DividendVanillaOption</a>, <a class="el" href="class_quant_lib_1_1_forward_vanilla_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">ForwardVanillaOption</a>, <a class="el" href="class_quant_lib_1_1_continuous_floating_lookback_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">ContinuousFloatingLookbackOption</a>, <a class="el" href="class_quant_lib_1_1_continuous_fixed_lookback_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">ContinuousFixedLookbackOption</a>, <a class="el" href="class_quant_lib_1_1_multi_asset_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">MultiAssetOption</a>, <a class="el" href="class_quant_lib_1_1_swap.html#ad6958108bfaef12bc4ccd6b3d7a7231">Swap</a>, <a class="el" href="class_quant_lib_1_1_swaption.html#ad6958108bfaef12bc4ccd6b3d7a7231">Swaption</a>, <a class="el" href="class_quant_lib_1_1_vanilla_swap.html#769a037255393b166557200edad61038">VanillaSwap</a>, <a class="el" href="class_quant_lib_1_1_variance_swap.html#769a037255393b166557200edad61038">VarianceSwap</a>, and <a class="el" href="class_quant_lib_1_1_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">Option</a>.</p>
</div>
</div><p>
<a class="anchor" name="a0a3105ddebcff9f233fb76a8a31fafe"></a><!-- doxytag: member="QuantLib::Instrument::fetchResults" ref="a0a3105ddebcff9f233fb76a8a31fafe" args="(const PricingEngine::results *) const " -->
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<td class="memname">void fetchResults </td>
<td>(</td>
<td class="paramtype">const PricingEngine::results * </td>
<td class="paramname"> <em>r</em> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
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<div class="memdoc">
<p>
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.
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_asset_swap.html#a0a3105ddebcff9f233fb76a8a31fafe">AssetSwap</a>, <a class="el" href="class_quant_lib_1_1_forward_vanilla_option.html#a0a3105ddebcff9f233fb76a8a31fafe">ForwardVanillaOption</a>, <a class="el" href="class_quant_lib_1_1_multi_asset_option.html#a0a3105ddebcff9f233fb76a8a31fafe">MultiAssetOption</a>, <a class="el" href="class_quant_lib_1_1_one_asset_option.html#a0a3105ddebcff9f233fb76a8a31fafe">OneAssetOption</a>, <a class="el" href="class_quant_lib_1_1_quanto_forward_vanilla_option.html#a0a3105ddebcff9f233fb76a8a31fafe">QuantoForwardVanillaOption</a>, <a class="el" href="class_quant_lib_1_1_quanto_vanilla_option.html#a0a3105ddebcff9f233fb76a8a31fafe">QuantoVanillaOption</a>, <a class="el" href="class_quant_lib_1_1_swap.html#a0a3105ddebcff9f233fb76a8a31fafe">Swap</a>, <a class="el" href="class_quant_lib_1_1_vanilla_swap.html#a0a3105ddebcff9f233fb76a8a31fafe">VanillaSwap</a>, and <a class="el" href="class_quant_lib_1_1_variance_swap.html#a0a3105ddebcff9f233fb76a8a31fafe">VarianceSwap</a>.</p>
</div>
</div><p>
<a class="anchor" name="10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::Instrument::calculate" ref="10873979f635888606e03f9cb2d8a096" args="() const " -->
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<td class="memname">void calculate </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [protected, virtual]</code></td>
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<div class="memdoc">
<p>
This method performs all needed calculations by calling the <em><b>performCalculations</b></em> method.<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000069">Warning:</a></b></dt><dd>Objects cache the results of the previous calculation. Such results will be returned upon later invocations of <em><b>calculate</b></em>. 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.</dd></dl>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000069">Warning:</a></b></dt><dd>Should this method be redefined in derived classes, <a class="el" href="class_quant_lib_1_1_lazy_object.html#10873979f635888606e03f9cb2d8a096">LazyObject::calculate()</a> should be called in the overriding method. </dd></dl>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_lazy_object.html#10873979f635888606e03f9cb2d8a096">LazyObject</a>.</p>
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<a class="anchor" name="1ea01b653cd3880c3e5d8bc34af412d3"></a><!-- doxytag: member="QuantLib::Instrument::setupExpired" ref="1ea01b653cd3880c3e5d8bc34af412d3" args="() const " -->
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<td class="memname">void setupExpired </td>
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This method must leave the instrument in a consistent state when the expiration condition is met.
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_multi_asset_option.html#1ea01b653cd3880c3e5d8bc34af412d3">MultiAssetOption</a>, <a class="el" href="class_quant_lib_1_1_one_asset_option.html#1ea01b653cd3880c3e5d8bc34af412d3">OneAssetOption</a>, <a class="el" href="class_quant_lib_1_1_swap.html#1ea01b653cd3880c3e5d8bc34af412d3">Swap</a>, <a class="el" href="class_quant_lib_1_1_variance_swap.html#1ea01b653cd3880c3e5d8bc34af412d3">VarianceSwap</a>, and <a class="el" href="class_quant_lib_1_1_year_on_year_inflation_swap.html#1ea01b653cd3880c3e5d8bc34af412d3">YearOnYearInflationSwap</a>.</p>
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<a class="anchor" name="02b90bbfee3ee29627939544fb59ec93"></a><!-- doxytag: member="QuantLib::Instrument::performCalculations" ref="02b90bbfee3ee29627939544fb59ec93" args="() const " -->
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<td class="memname">void performCalculations </td>
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In case a pricing engine is <b>not</b> 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.
<p>Implements <a class="el" href="class_quant_lib_1_1_lazy_object.html#572dbe926524786c64db01e31dba7ab8">LazyObject</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_convertible_bond.html#02b90bbfee3ee29627939544fb59ec93">ConvertibleBond</a>, <a class="el" href="class_quant_lib_1_1_composite_instrument.html#02b90bbfee3ee29627939544fb59ec93">CompositeInstrument</a>, <a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html#02b90bbfee3ee29627939544fb59ec93">FixedRateBondForward</a>, <a class="el" href="class_quant_lib_1_1_forward.html#02b90bbfee3ee29627939544fb59ec93">Forward</a>, <a class="el" href="class_quant_lib_1_1_stock.html#02b90bbfee3ee29627939544fb59ec93">Stock</a>, <a class="el" href="class_quant_lib_1_1_variance_swap.html#02b90bbfee3ee29627939544fb59ec93">VarianceSwap</a>, <a class="el" href="class_quant_lib_1_1_year_on_year_inflation_swap.html#02b90bbfee3ee29627939544fb59ec93">YearOnYearInflationSwap</a>, and <a class="el" href="class_quant_lib_1_1_zero_coupon_inflation_swap.html#02b90bbfee3ee29627939544fb59ec93">ZeroCouponInflationSwap</a>.</p>
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