CompositeInstrument Class Reference

Composite instrument More...

#include <ql/instruments/compositeinstrument.hpp>

Inheritance diagram for CompositeInstrument:

Public Member Functions
void	add (const boost::shared_ptr< Instrument > &instrument, Real multiplier=1.0)
	adds an instrument to the composite
void	subtract (const boost::shared_ptr< Instrument > &instrument, Real multiplier=1.0)
	shorts an instrument from the composite
Observer interface
void	deepUpdate ()
Public Member Functions inherited from Instrument
virtual void	setupArguments (PricingEngine::arguments *) const
virtual void	fetchResults (const PricingEngine::results *) const
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.
void	setPricingEngine (const boost::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...
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 boost::shared_ptr< Observable > &)
void	registerWithObservables (const boost::shared_ptr< Observer > &)
Size	unregisterWith (const boost::shared_ptr< Observable > &)
void	unregisterWithAll ()

Instrument interface
bool	isExpired () const
	returns whether the instrument might have value greater than zero.
void	performCalculations () const

Additional Inherited Members
Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
Protected Member Functions inherited from Instrument
void	calculate () const
virtual void	setupExpired () const
Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngine >	engine_
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, boost::any >	additionalResults_
Protected Attributes inherited from LazyObject
bool	calculated_
bool	frozen_
bool	alwaysForward_

Detailed Description

Composite instrument

This instrument is an aggregate of other instruments. Its NPV is the sum of the NPVs of its components, each possibly multiplied by a given factor.

Example: static replication of a down-and-out barrier option

Warning:

Methods that drive the calculation directly (such as recalculate(), freeze() and others) might not work correctly.

Examples:

Replication.cpp.

Member Function Documentation

deepUpdate()

void deepUpdate ( )

virtual

This method allows to explicitly update the instance itself and nested observers. If notifications are disabled a call to this method ensures an update of such nested observers. It should be implemented in derived classes whenever applicable

Reimplemented from Observer.

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.

Reimplemented from Instrument.