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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<h1>Financial instruments</h1><hr><a name="_details"></a><h2>Detailed Description</h2>
Since version 0.3.4, the <code>Instrument</code> class was reworked as shown in the following figure.<p>
<p>
<center><img src="instrument.png" alt="UML diagram"></center>
<p>
On the one hand, the checking of the expiration condition is now performed in a method <code>isExpired()</code> separated from the actual calculation, and a <code>setupExpired()</code> method is provided. The latter sets the NPV to 0.0 and can be extended in derived classes should any other results be returned.<p>
On the other hand, the pricing-engine machinery previously contained in the Option class was moved upwards to the Instrument class. Also, the <code>setupEngine()</code> method was replaced by a <code>setupArguments(Arguments*)</code> method. This allows one to cleanly implement containment of instruments with code such as:<p>
<div class="fragment"><pre class="fragment"> <span class="keyword">class </span>FooArguments : <span class="keyword">public</span> Arguments { ... };
<span class="keyword">class </span>Foo : <span class="keyword">public</span> Instrument {
<span class="keyword">public</span>:
<span class="keywordtype">void</span> setupArguments(Arguments*);
...
};
<span class="keyword">class </span>FooOptionArguments : <span class="keyword">public</span> FooArguments { ... };
<span class="keyword">class </span>FooOption : <span class="keyword">public</span> Option {
<span class="keyword">private</span>:
Foo underlying_;
<span class="keyword">public</span>:
<span class="keywordtype">void</span> setupArguments(Arguments* args) {
underlying_.setupArguments(args);
<span class="comment">// set the option-specific part</span>
}
...
};
</pre></div><p>
which was more difficult to write with <code>setupEngine()</code>.<p>
Therefore, there are now two ways to inherit from <code>Instrument</code>, namely:<p>
<ol type=1>
<li>implement the <code>isExpired</code> method, and completely override the <code>performCalculations</code> method so that it bypasses the pricing-engine machinery. If the class declared any other results beside <code>NPV_</code> and <code>errorEstimate_</code>, the <code>setupExpired</code> method should also be extended so that those results are set to a value suitable for an expired instrument. This was the migration path taken for all instruments not previously deriving from the <code>Option</code> class.</li><li>define suitable argument and result classes for the instrument and implement the <code>isExpired</code> and <code>setupArguments</code> methods, reusing the pricing-engine machinery provided by the default <code>performCalculations</code> method. The latter can be extended by first calling the default implementation and then performing any additional tasks required by the instrument---most often, copying additional results from the pricing engine results to the corresponding data members of the instrument. As in the previous case, the <code>setupExpired</code> method can be extended to account for such extra data members. </li></ol>
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<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_digital_coupon.html">DigitalCoupon</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Digital-payoff coupon. <a href="class_quant_lib_1_1_digital_coupon.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_continuous_averaging_asian_option.html">ContinuousAveragingAsianOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Continuous-averaging Asian option. <a href="class_quant_lib_1_1_continuous_averaging_asian_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_discrete_averaging_asian_option.html">DiscreteAveragingAsianOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Discrete-averaging Asian option. <a href="class_quant_lib_1_1_discrete_averaging_asian_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_asset_swap.html">AssetSwap</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Bullet bond vs Libor swap. <a href="class_quant_lib_1_1_asset_swap.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_barrier_option.html">BarrierOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Barrier option on a single asset. <a href="class_quant_lib_1_1_barrier_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_basket_option.html">BasketOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Basket option on a number of assets. <a href="class_quant_lib_1_1_basket_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_bond.html">Bond</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Base bond class. <a href="class_quant_lib_1_1_bond.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cms_rate_bond.html">CmsRateBond</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">CMS-rate bond. <a href="class_quant_lib_1_1_cms_rate_bond.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fixed_rate_bond.html">FixedRateBond</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">fixed-rate bond <a href="class_quant_lib_1_1_fixed_rate_bond.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_floating_rate_bond.html">FloatingRateBond</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">floating-rate bond (possibly capped and/or floored) <a href="class_quant_lib_1_1_floating_rate_bond.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_zero_coupon_bond.html">ZeroCouponBond</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">zero-coupon bond <a href="class_quant_lib_1_1_zero_coupon_bond.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap_floor.html">CapFloor</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Base class for cap-like instruments. <a href="class_quant_lib_1_1_cap_floor.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap.html">Cap</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Concrete cap class. <a href="class_quant_lib_1_1_cap.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_floor.html">Floor</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Concrete floor class. <a href="class_quant_lib_1_1_floor.html#_details">More...</a><br></td></tr>
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<tr><td class="mdescLeft"> </td><td class="mdescRight">Concrete collar class. <a href="class_quant_lib_1_1_collar.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cliquet_option.html">CliquetOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">cliquet (Ratchet) option <a href="class_quant_lib_1_1_cliquet_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_composite_instrument.html">CompositeInstrument</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Composite instrument <a href="class_quant_lib_1_1_composite_instrument.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_dividend_vanilla_option.html">DividendVanillaOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Single-asset vanilla option (no barriers) with discrete dividends. <a href="class_quant_lib_1_1_dividend_vanilla_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_european_option.html">EuropeanOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">European option on a single asset. <a href="class_quant_lib_1_1_european_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html">FixedRateBondForward</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Forward contract on a fixed-rate bond <a href="class_quant_lib_1_1_fixed_rate_bond_forward.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward.html">Forward</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Abstract base forward class. <a href="class_quant_lib_1_1_forward.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_forward_vanilla_option.html">ForwardVanillaOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Forward version of a vanilla option <a href="class_quant_lib_1_1_forward_vanilla_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_inflation_swap.html">InflationSwap</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Abstract base class for inflation swaps. <a href="class_quant_lib_1_1_inflation_swap.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_continuous_floating_lookback_option.html">ContinuousFloatingLookbackOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Continuous-floating lookback option. <a href="class_quant_lib_1_1_continuous_floating_lookback_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_continuous_fixed_lookback_option.html">ContinuousFixedLookbackOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Continuous-fixed lookback option. <a href="class_quant_lib_1_1_continuous_fixed_lookback_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_quanto_forward_vanilla_option.html">QuantoForwardVanillaOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Quanto version of a forward vanilla option. <a href="class_quant_lib_1_1_quanto_forward_vanilla_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_quanto_vanilla_option.html">QuantoVanillaOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">quanto version of a vanilla option <a href="class_quant_lib_1_1_quanto_vanilla_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_stock.html">Stock</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Simple stock class. <a href="class_quant_lib_1_1_stock.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swap.html">Swap</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Interest rate swap. <a href="class_quant_lib_1_1_swap.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swaption.html">Swaption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Swaption class <a href="class_quant_lib_1_1_swaption.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_vanilla_option.html">VanillaOption</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Vanilla option (no discrete dividends, no barriers) on a single asset. <a href="class_quant_lib_1_1_vanilla_option.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Plain-vanilla swap. <a href="class_quant_lib_1_1_vanilla_swap.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_variance_swap.html">VarianceSwap</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Variance swap. <a href="class_quant_lib_1_1_variance_swap.html#_details">More...</a><br></td></tr>
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