1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>Instrument Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="185" height="50" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 1.2</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.7.6.1 -->
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_instrument.html">Instrument</a> </li>
</ul>
</div>
</div>
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="#pro-attribs">Protected Attributes</a> </div>
<div class="headertitle">
<div class="title">Instrument Class Reference</div> </div>
</div><!--header-->
<div class="contents">
<!-- doxytag: class="QuantLib::Instrument" --><!-- doxytag: inherits="QuantLib::LazyObject" -->
<p>Abstract instrument class.
<a href="class_quant_lib_1_1_instrument.html#details">More...</a></p>
<p><code>#include <ql/instrument.hpp></code></p>
<p>Inherits <a class="el" href="class_quant_lib_1_1_lazy_object.html">LazyObject</a>.</p>
<p>Inherited by <a class="el" href="class_quant_lib_1_1_bond.html">Bond</a>, <a class="el" href="class_quant_lib_1_1_cap_floor.html">CapFloor</a>, <a class="el" href="class_quant_lib_1_1_c_d_o.html">CDO</a>, <a class="el" href="class_quant_lib_1_1_commodity.html">Commodity</a>, <a class="el" href="class_quant_lib_1_1_composite_instrument.html">CompositeInstrument</a>, <a class="el" href="class_quant_lib_1_1_c_p_i_cap_floor.html">CPICapFloor</a>, <a class="el" href="class_quant_lib_1_1_credit_default_swap.html">CreditDefaultSwap</a>, <a class="el" href="class_quant_lib_1_1_forward.html">Forward</a>, <a class="el" href="class_quant_lib_1_1_nth_to_default.html">NthToDefault</a>, <a class="el" href="class_quant_lib_1_1_option.html">Option</a>, <a class="el" href="class_quant_lib_1_1_path_multi_asset_option.html">PathMultiAssetOption</a>, <a class="el" href="class_quant_lib_1_1_risky_asset_swap.html">RiskyAssetSwap</a>, <a class="el" href="class_quant_lib_1_1_risky_asset_swap_option.html">RiskyAssetSwapOption</a>, <a class="el" href="class_quant_lib_1_1_risky_bond.html">RiskyBond</a>, <a class="el" href="class_quant_lib_1_1_stock.html">Stock</a>, <a class="el" href="class_quant_lib_1_1_swap.html">Swap</a>, <a class="el" href="class_quant_lib_1_1_synthetic_c_d_o.html">SyntheticCDO</a>, <a class="el" href="class_quant_lib_1_1_variance_option.html">VarianceOption</a>, <a class="el" href="class_quant_lib_1_1_variance_swap.html">VarianceSwap</a>, and <a class="el" href="class_quant_lib_1_1_yo_y_inflation_cap_floor.html">YoYInflationCapFloor</a>.</p>
<p><a href="class_quant_lib_1_1_instrument-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#aad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> (PricingEngine::arguments *) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#aa0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> (const PricingEngine::results *) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5a137dafb316bb3644a8f92bbf4c1abb"></a><!-- doxytag: member="QuantLib::Instrument::NPV" ref="a5a137dafb316bb3644a8f92bbf4c1abb" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#a5a137dafb316bb3644a8f92bbf4c1abb">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" align="right" valign="top"><a class="anchor" id="acc5ad105e834e2360818b4f5046bd1f5"></a><!-- doxytag: member="QuantLib::Instrument::errorEstimate" ref="acc5ad105e834e2360818b4f5046bd1f5" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#acc5ad105e834e2360818b4f5046bd1f5">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="memItemLeft" align="right" valign="top"><a class="anchor" id="a99aff03ddebfd886dc56c828b37d0ce8"></a><!-- doxytag: member="QuantLib::Instrument::valuationDate" ref="a99aff03ddebfd886dc56c828b37d0ce8" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#a99aff03ddebfd886dc56c828b37d0ce8">valuationDate</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns the date the net present value refers to. <br/></td></tr>
<tr><td class="memTemplParams" colspan="2"><a class="anchor" id="acc310c2b59d80ac4acea89ab6209ed6d"></a><!-- doxytag: member="QuantLib::Instrument::result" ref="acc310c2b59d80ac4acea89ab6209ed6d" args="(const std::string &tag) const " -->
template<typename T > </td></tr>
<tr><td class="memTemplItemLeft" align="right" valign="top">T </td><td class="memTemplItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#acc310c2b59d80ac4acea89ab6209ed6d">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" align="right" valign="top"><a class="anchor" id="acf71758cad703eb3e151e4c9df184866"></a><!-- doxytag: member="QuantLib::Instrument::additionalResults" ref="acf71758cad703eb3e151e4c9df184866" args="() const " -->
const std::map< std::string, <br class="typebreak"/>
boost::any > & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#acf71758cad703eb3e151e4c9df184866">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" align="right" valign="top"><a class="anchor" id="a672af63d5c16d2597399475923d21ad0"></a><!-- doxytag: member="QuantLib::Instrument::isExpired" ref="a672af63d5c16d2597399475923d21ad0" args="() const =0" -->
virtual bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#a672af63d5c16d2597399475923d21ad0">isExpired</a> () const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument might have value greater than zero. <br/></td></tr>
<tr><td colspan="2"><div class="groupHeader">Modifiers</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#af259149d11ddda95328d6a41be778078">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="#af259149d11ddda95328d6a41be778078"></a><br/></td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td colspan="2"><div class="groupHeader">Calculations</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#a10873979f635888606e03f9cb2d8a096">calculate</a> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#a1ea01b653cd3880c3e5d8bc34af412d3">setupExpired</a> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_instrument.html#a02b90bbfee3ee29627939544fb59ec93">performCalculations</a> () const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aec8a3d48bdab47e807560f973bfa1569"></a><!-- doxytag: member="QuantLib::Instrument::engine_" ref="aec8a3d48bdab47e807560f973bfa1569" 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"><p>The value of this attribute and any other that derived classes might declare must be set during calculation. </p>
</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abb995b099094913d099029f2fd3936b8"></a><!-- doxytag: member="QuantLib::Instrument::NPV_" ref="abb995b099094913d099029f2fd3936b8" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>NPV_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1e9067e3af34538ab0ff6d744ff712ca"></a><!-- doxytag: member="QuantLib::Instrument::errorEstimate_" ref="a1e9067e3af34538ab0ff6d744ff712ca" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>errorEstimate_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a70132e458102c58b30afbb59122fa68b"></a><!-- doxytag: member="QuantLib::Instrument::valuationDate_" ref="a70132e458102c58b30afbb59122fa68b" args="" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>valuationDate_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a943dca9fb2114bd8a5fa4d5802ac6bba"></a><!-- doxytag: member="QuantLib::Instrument::additionalResults_" ref="a943dca9fb2114bd8a5fa4d5802ac6bba" args="" -->
std::map< std::string, boost::any > </td><td class="memItemRight" valign="bottom"><b>additionalResults_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Abstract instrument class. </p>
<p>This class is purely abstract and defines the interface of concrete instruments which will be derived from this one.</p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000013">Tests:</a></b></dt><dd>observability of class instances is checked. </dd></dl>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="af259149d11ddda95328d6a41be778078"></a><!-- doxytag: member="QuantLib::Instrument::setPricingEngine" ref="af259149d11ddda95328d6a41be778078" args="(const boost::shared_ptr< PricingEngine > &)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_instrument.html#af259149d11ddda95328d6a41be778078">setPricingEngine</a> </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></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>set the pricing engine to be used. </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000045">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>
<a class="anchor" id="aad6958108bfaef12bc4ccd6b3d7a7231"></a><!-- doxytag: member="QuantLib::Instrument::setupArguments" ref="aad6958108bfaef12bc4ccd6b3d7a7231" args="(PricingEngine::arguments *) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_instrument.html#aad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </td>
<td class="paramname"></td><td>)</td>
<td> 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>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_bond.html#aad6958108bfaef12bc4ccd6b3d7a7231">Bond</a>, <a class="el" href="class_quant_lib_1_1_callable_fixed_rate_bond.html#af6f2357affd0584e0db188a557bdef03">CallableFixedRateBond</a>, <a class="el" href="class_quant_lib_1_1_synthetic_c_d_o.html#aad6958108bfaef12bc4ccd6b3d7a7231">SyntheticCDO</a>, <a class="el" href="class_quant_lib_1_1_c_p_i_swap.html#a769a037255393b166557200edad61038">CPISwap</a>, <a class="el" href="class_quant_lib_1_1_credit_default_swap.html#aad6958108bfaef12bc4ccd6b3d7a7231">CreditDefaultSwap</a>, <a class="el" href="class_quant_lib_1_1_zero_coupon_inflation_swap.html#aad6958108bfaef12bc4ccd6b3d7a7231">ZeroCouponInflationSwap</a>, <a class="el" href="class_quant_lib_1_1_vanilla_swap.html#a769a037255393b166557200edad61038">VanillaSwap</a>, <a class="el" href="class_quant_lib_1_1_year_on_year_inflation_swap.html#a769a037255393b166557200edad61038">YearOnYearInflationSwap</a>, <a class="el" href="class_quant_lib_1_1_energy_commodity.html#aad6958108bfaef12bc4ccd6b3d7a7231">EnergyCommodity</a>, <a class="el" href="class_quant_lib_1_1_c_p_i_cap_floor.html#aad6958108bfaef12bc4ccd6b3d7a7231">CPICapFloor</a>, <a class="el" href="class_quant_lib_1_1_asset_swap.html#a769a037255393b166557200edad61038">AssetSwap</a>, <a class="el" href="class_quant_lib_1_1_callable_bond.html#a71e3006b83c8b484bc57296fe94bf36d">CallableBond</a>, <a class="el" href="class_quant_lib_1_1_swaption.html#aad6958108bfaef12bc4ccd6b3d7a7231">Swaption</a>, <a class="el" href="class_quant_lib_1_1_yo_y_inflation_cap_floor.html#aad6958108bfaef12bc4ccd6b3d7a7231">YoYInflationCapFloor</a>, <a class="el" href="class_quant_lib_1_1_cap_floor.html#aad6958108bfaef12bc4ccd6b3d7a7231">CapFloor</a>, <a class="el" href="class_quant_lib_1_1_discrete_averaging_asian_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">DiscreteAveragingAsianOption</a>, <a class="el" href="class_quant_lib_1_1_variance_swap.html#a769a037255393b166557200edad61038">VarianceSwap</a>, <a class="el" href="class_quant_lib_1_1_vanilla_swing_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">VanillaSwingOption</a>, <a class="el" href="class_quant_lib_1_1_variance_option.html#a769a037255393b166557200edad61038">VarianceOption</a>, <a class="el" href="class_quant_lib_1_1_continuous_fixed_lookback_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">ContinuousFixedLookbackOption</a>, <a class="el" href="class_quant_lib_1_1_swap.html#aad6958108bfaef12bc4ccd6b3d7a7231">Swap</a>, <a class="el" href="class_quant_lib_1_1_dividend_vanilla_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">DividendVanillaOption</a>, <a class="el" href="class_quant_lib_1_1_forward_vanilla_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">ForwardVanillaOption</a>, <a class="el" href="class_quant_lib_1_1_cds_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">CdsOption</a>, <a class="el" href="class_quant_lib_1_1_cliquet_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">CliquetOption</a>, <a class="el" href="class_quant_lib_1_1_writer_extensible_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">WriterExtensibleOption</a>, <a class="el" href="class_quant_lib_1_1_multi_asset_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">MultiAssetOption</a>, <a class="el" href="class_quant_lib_1_1_himalaya_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">HimalayaOption</a>, <a class="el" href="class_quant_lib_1_1_pagoda_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">PagodaOption</a>, <a class="el" href="class_quant_lib_1_1_barrier_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">BarrierOption</a>, <a class="el" href="class_quant_lib_1_1_path_multi_asset_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">PathMultiAssetOption</a>, <a class="el" href="class_quant_lib_1_1_dividend_barrier_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">DividendBarrierOption</a>, <a class="el" href="class_quant_lib_1_1_continuous_averaging_asian_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">ContinuousAveragingAsianOption</a>, <a class="el" href="class_quant_lib_1_1_compound_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">CompoundOption</a>, <a class="el" href="class_quant_lib_1_1_vanilla_storage_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">VanillaStorageOption</a>, <a class="el" href="class_quant_lib_1_1_margrabe_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">MargrabeOption</a>, <a class="el" href="class_quant_lib_1_1_simple_chooser_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">SimpleChooserOption</a>, <a class="el" href="class_quant_lib_1_1_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">Option</a>, and <a class="el" href="class_quant_lib_1_1_continuous_floating_lookback_option.html#aad6958108bfaef12bc4ccd6b3d7a7231">ContinuousFloatingLookbackOption</a>.</p>
</div>
</div>
<a class="anchor" id="aa0a3105ddebcff9f233fb76a8a31fafe"></a><!-- doxytag: member="QuantLib::Instrument::fetchResults" ref="aa0a3105ddebcff9f233fb76a8a31fafe" args="(const PricingEngine::results *) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_instrument.html#aa0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> </td>
<td>(</td>
<td class="paramtype">const PricingEngine::results * </td>
<td class="paramname"><em>r</em></td><td>)</td>
<td> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<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>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_bond.html#aa0a3105ddebcff9f233fb76a8a31fafe">Bond</a>, <a class="el" href="class_quant_lib_1_1_synthetic_c_d_o.html#aa0a3105ddebcff9f233fb76a8a31fafe">SyntheticCDO</a>, <a class="el" href="class_quant_lib_1_1_c_p_i_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">CPISwap</a>, <a class="el" href="class_quant_lib_1_1_credit_default_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">CreditDefaultSwap</a>, <a class="el" href="class_quant_lib_1_1_zero_coupon_inflation_swap.html#a0f63e39daa12d877d8156360b8f920af">ZeroCouponInflationSwap</a>, <a class="el" href="class_quant_lib_1_1_vanilla_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">VanillaSwap</a>, <a class="el" href="class_quant_lib_1_1_year_on_year_inflation_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">YearOnYearInflationSwap</a>, <a class="el" href="class_quant_lib_1_1_energy_commodity.html#aa0a3105ddebcff9f233fb76a8a31fafe">EnergyCommodity</a>, <a class="el" href="class_quant_lib_1_1_c_p_i_cap_floor.html#a0f63e39daa12d877d8156360b8f920af">CPICapFloor</a>, <a class="el" href="class_quant_lib_1_1_asset_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">AssetSwap</a>, <a class="el" href="class_quant_lib_1_1_variance_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">VarianceSwap</a>, <a class="el" href="class_quant_lib_1_1_quanto_vanilla_option.html#aa0a3105ddebcff9f233fb76a8a31fafe">QuantoVanillaOption</a>, <a class="el" href="class_quant_lib_1_1_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">Swap</a>, <a class="el" href="class_quant_lib_1_1_one_asset_option.html#aa0a3105ddebcff9f233fb76a8a31fafe">OneAssetOption</a>, <a class="el" href="class_quant_lib_1_1_forward_vanilla_option.html#aa0a3105ddebcff9f233fb76a8a31fafe">ForwardVanillaOption</a>, <a class="el" href="class_quant_lib_1_1_multi_asset_option.html#aa0a3105ddebcff9f233fb76a8a31fafe">MultiAssetOption</a>, <a class="el" href="class_quant_lib_1_1_quanto_barrier_option.html#aa0a3105ddebcff9f233fb76a8a31fafe">QuantoBarrierOption</a>, <a class="el" href="class_quant_lib_1_1_margrabe_option.html#aa0a3105ddebcff9f233fb76a8a31fafe">MargrabeOption</a>, and <a class="el" href="class_quant_lib_1_1_quanto_forward_vanilla_option.html#aa0a3105ddebcff9f233fb76a8a31fafe">QuantoForwardVanillaOption</a>.</p>
</div>
</div>
<a class="anchor" id="a10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::Instrument::calculate" ref="a10873979f635888606e03f9cb2d8a096" args="() const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_instrument.html#a10873979f635888606e03f9cb2d8a096">calculate</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const<code> [protected, virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>This method performs all needed calculations by calling the <em><b>performCalculations</b></em> method.</p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000084">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 class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000085">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#a10873979f635888606e03f9cb2d8a096">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#a10873979f635888606e03f9cb2d8a096">LazyObject</a>.</p>
</div>
</div>
<a class="anchor" id="a1ea01b653cd3880c3e5d8bc34af412d3"></a><!-- doxytag: member="QuantLib::Instrument::setupExpired" ref="a1ea01b653cd3880c3e5d8bc34af412d3" args="() const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_instrument.html#a1ea01b653cd3880c3e5d8bc34af412d3">setupExpired</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const<code> [protected, virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>This method must leave the instrument in a consistent state when the expiration condition is met. </p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_credit_default_swap.html#a1ea01b653cd3880c3e5d8bc34af412d3">CreditDefaultSwap</a>, <a class="el" href="class_quant_lib_1_1_bond.html#a1ea01b653cd3880c3e5d8bc34af412d3">Bond</a>, <a class="el" href="class_quant_lib_1_1_swap.html#a1ea01b653cd3880c3e5d8bc34af412d3">Swap</a>, <a class="el" href="class_quant_lib_1_1_risky_bond.html#a1ea01b653cd3880c3e5d8bc34af412d3">RiskyBond</a>, <a class="el" href="class_quant_lib_1_1_variance_swap.html#a1ea01b653cd3880c3e5d8bc34af412d3">VarianceSwap</a>, <a class="el" href="class_quant_lib_1_1_one_asset_option.html#a1ea01b653cd3880c3e5d8bc34af412d3">OneAssetOption</a>, <a class="el" href="class_quant_lib_1_1_multi_asset_option.html#a1ea01b653cd3880c3e5d8bc34af412d3">MultiAssetOption</a>, and <a class="el" href="class_quant_lib_1_1_path_multi_asset_option.html#a1ea01b653cd3880c3e5d8bc34af412d3">PathMultiAssetOption</a>.</p>
</div>
</div>
<a class="anchor" id="a02b90bbfee3ee29627939544fb59ec93"></a><!-- doxytag: member="QuantLib::Instrument::performCalculations" ref="a02b90bbfee3ee29627939544fb59ec93" args="() const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_instrument.html#a02b90bbfee3ee29627939544fb59ec93">performCalculations</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td> const<code> [protected, virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>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>
<p>Implements <a class="el" href="class_quant_lib_1_1_lazy_object.html#a572dbe926524786c64db01e31dba7ab8">LazyObject</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_fixed_rate_bond_forward.html#a02b90bbfee3ee29627939544fb59ec93">FixedRateBondForward</a>, <a class="el" href="class_quant_lib_1_1_forward.html#a02b90bbfee3ee29627939544fb59ec93">Forward</a>, <a class="el" href="class_quant_lib_1_1_risky_bond.html#a02b90bbfee3ee29627939544fb59ec93">RiskyBond</a>, <a class="el" href="class_quant_lib_1_1_convertible_bond.html#a02b90bbfee3ee29627939544fb59ec93">ConvertibleBond</a>, <a class="el" href="class_quant_lib_1_1_composite_instrument.html#a02b90bbfee3ee29627939544fb59ec93">CompositeInstrument</a>, <a class="el" href="class_quant_lib_1_1_energy_vanilla_swap.html#a02b90bbfee3ee29627939544fb59ec93">EnergyVanillaSwap</a>, <a class="el" href="class_quant_lib_1_1_energy_basis_swap.html#a02b90bbfee3ee29627939544fb59ec93">EnergyBasisSwap</a>, <a class="el" href="class_quant_lib_1_1_energy_future.html#a02b90bbfee3ee29627939544fb59ec93">EnergyFuture</a>, and <a class="el" href="class_quant_lib_1_1_stock.html#a02b90bbfee3ee29627939544fb59ec93">Stock</a>.</p>
</div>
</div>
</div><!-- contents -->
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.7.6.1
</div>
</div>
</div>
</body>
</html>
|
