Abstract instrument class. More...
#include <ql/instrument.hpp>
Inherits LazyObject.
Inherited by Bond, CapFloor, CDO, Commodity, CompositeInstrument, CPICapFloor, CreditDefaultSwap, Forward, NthToDefault, Option, PathMultiAssetOption, RiskyAssetSwap, RiskyAssetSwapOption, RiskyBond, Stock, Swap, SyntheticCDO, VarianceOption, VarianceSwap, and YoYInflationCapFloor.
Public Member Functions | |
virtual void | setupArguments (PricingEngine::arguments *) const |
virtual void | fetchResults (const PricingEngine::results *) const |
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 boost::shared_ptr< PricingEngine > &) |
set the pricing engine to be used. More... | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
void | registerWithObservables (const boost::shared_ptr< Observer > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Protected Member Functions | |
Calculations | |
void | calculate () const |
virtual void | setupExpired () const |
virtual void | performCalculations () const |
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Protected Attributes | |
boost::shared_ptr< PricingEngine > | engine_ |
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_ |
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bool | calculated_ |
bool | frozen_ |
Abstract instrument class.
This class is purely abstract and defines the interface of concrete instruments which will be derived from this one.
void setPricingEngine | ( | const boost::shared_ptr< PricingEngine > & | e | ) |
set the pricing engine to be used.
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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 Bond, CallableFixedRateBond, SyntheticCDO, CPISwap, ContinuousPartialFixedLookbackOption, CreditDefaultSwap, FloatFloatSwap, ZeroCouponInflationSwap, VanillaSwap, NthToDefault, YearOnYearInflationSwap, EnergyCommodity, CPICapFloor, ContinuousPartialFloatingLookbackOption, AssetSwap, NonstandardSwap, CallableBond, Swaption, IrregularSwap, YoYInflationCapFloor, CapFloor, DiscreteAveragingAsianOption, VarianceSwap, VanillaSwingOption, ContinuousFixedLookbackOption, VarianceOption, Swap, IrregularSwaption, DividendVanillaOption, ForwardVanillaOption, CdsOption, CliquetOption, WriterExtensibleOption, NonstandardSwaption, MultiAssetOption, HimalayaOption, PagodaOption, BarrierOption, DoubleBarrierOption, PathMultiAssetOption, DividendBarrierOption, FloatFloatSwaption, ContinuousAveragingAsianOption, TwoAssetBarrierOption, VanillaStorageOption, CompoundOption, MargrabeOption, ContinuousFloatingLookbackOption, SimpleChooserOption, and Option.
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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 Bond, SyntheticCDO, CPISwap, CreditDefaultSwap, FloatFloatSwap, ZeroCouponInflationSwap, VanillaSwap, NthToDefault, YearOnYearInflationSwap, EnergyCommodity, CPICapFloor, AssetSwap, NonstandardSwap, IrregularSwap, VarianceSwap, QuantoVanillaOption, Swap, OneAssetOption, ForwardVanillaOption, MultiAssetOption, QuantoDoubleBarrierOption, QuantoBarrierOption, MargrabeOption, and QuantoForwardVanillaOption.
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protectedvirtual |
This method performs all needed calculations by calling the performCalculations method.
Reimplemented from LazyObject.
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protectedvirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented in CreditDefaultSwap, Bond, Swap, RiskyBond, VarianceSwap, OneAssetOption, PathMultiAssetOption, and MultiAssetOption.
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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 FixedRateBondForward, Forward, RiskyBond, ConvertibleBond, CompositeInstrument, EnergyVanillaSwap, EnergyBasisSwap, EnergyFuture, and Stock.