CompositeInstrumentWrapper Class Reference

Composite Instrument Wrapper. More...

#include <ored/portfolio/compositeinstrumentwrapper.hpp>

Inheritance diagram for CompositeInstrumentWrapper:

Collaboration diagram for CompositeInstrumentWrapper:

Public Member Functions
	CompositeInstrumentWrapper (const std::vector< QuantLib::ext::shared_ptr< InstrumentWrapper > > &wrappers, const std::vector< Handle< Quote > > &fxRates={}, const Date &valuationDate=Date())
void	initialise (const std::vector< QuantLib::Date > &dates) override
	Initialise with the given date grid. More...
void	reset () override
	reset is called every time a new path is about to be priced. More...
QuantLib::Real	NPV () const override
	Return the NPV of this instrument. More...
const std::map< std::string, boost::any > &	additionalResults () const override
	Return the additional results of this instrument. More...
void	updateQlInstruments () override
	call update on enclosed instrument(s) More...
bool	isOption () override
	is it an Option? More...
Public Member Functions inherited from InstrumentWrapper
	InstrumentWrapper ()
	InstrumentWrapper (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &inst, const Real multiplier=1.0, const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &additionalInstruments=std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >(), const std::vector< Real > &additionalMultipliers=std::vector< Real >())
virtual	~InstrumentWrapper ()
virtual void	initialise (const std::vector< QuantLib::Date > &dates)=0
	Initialise with the given date grid. More...
virtual void	reset ()=0
	reset is called every time a new path is about to be priced. More...
virtual QuantLib::Real	NPV () const =0
	Return the NPV of this instrument. More...
virtual const std::map< std::string, boost::any > &	additionalResults () const =0
	Return the additional results of this instrument. More...
QuantLib::Real	additionalInstrumentsNPV () const
virtual void	updateQlInstruments ()
	call update on enclosed instrument(s) More...
virtual bool	isOption ()
	is it an Option? More...
QuantLib::ext::shared_ptr< QuantLib::Instrument >	qlInstrument (const bool calculate=false) const
	Inspectors. More...
Real	multiplier () const
virtual Real	multiplier2 () const
const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > &	additionalInstruments () const
const std::vector< Real > &	additionalMultipliers () const
boost::timer::nanosecond_type	getCumulativePricingTime () const
	Get cumulative timing spent on pricing. More...
std::size_t	getNumberOfPricings () const
	Get number of pricings. More...
void	resetPricingStats () const
	Reset pricing statistics. More...

Protected Attributes
bool	isOption_
std::vector< QuantLib::ext::shared_ptr< InstrumentWrapper > >	wrappers_
std::vector< QuantLib::Handle< Quote > >	fxRates_
Date	valuationDate_
std::map< std::string, boost::any >	additionalResults_
Protected Attributes inherited from InstrumentWrapper
QuantLib::ext::shared_ptr< QuantLib::Instrument >	instrument_
Real	multiplier_
std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > >	additionalInstruments_
std::vector< Real >	additionalMultipliers_
std::size_t	numberOfPricings_ = 0
boost::timer::nanosecond_type	cumulativePricingTime_ = 0

Additional Inherited Members
Protected Member Functions inherited from InstrumentWrapper
Real	getTimedNPV (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &instr) const

Detailed Description

Composite Instrument Wrapper.

A Composite Instrument Wrapper will return the sum npv for all wrappers passed in. Notice that qlInstrument() will return a nullptr.

Definition at line 52 of file compositeinstrumentwrapper.hpp.

Constructor & Destructor Documentation

CompositeInstrumentWrapper()

CompositeInstrumentWrapper	(	const std::vector< QuantLib::ext::shared_ptr< InstrumentWrapper > > &	wrappers,
		const std::vector< Handle< Quote > > &	fxRates = {},
		const Date &	valuationDate = Date()
	)

Definition at line 24 of file compositeinstrumentwrapper.cpp.

    : InstrumentWrapper(), wrappers_(wrappers), fxRates_(fxRates), valuationDate_(valuationDate) {
 
    QL_REQUIRE(wrappers.size() > 0, "no instrument wrappers provided");
    QL_REQUIRE(fxRates_.empty() || fxRates_.size() == wrappers_.size(), "unexpected number of fxRates provided");
 
    for (const auto& w : wrappers_) {
        auto tmp = w->additionalInstruments();
        auto tmp2 = w->additionalMultipliers();
        additionalInstruments_.insert(additionalInstruments_.end(), tmp.begin(), tmp.end());
        additionalMultipliers_.insert(additionalMultipliers_.end(), tmp2.begin(), tmp2.end());
    }
}

Member Function Documentation

initialise()

void initialise ( const std::vector< QuantLib::Date > &  dates )

overridevirtual

Initialise with the given date grid.

Implements InstrumentWrapper.

Definition at line 40 of file compositeinstrumentwrapper.cpp.

                                                                                {
    for (auto& w : wrappers_)
        w->initialise(dates);
};

reset()

void reset ( )

overridevirtual

reset is called every time a new path is about to be priced.

For path dependent Wrappers, this is when internal state should be reset

Implements InstrumentWrapper.

Definition at line 45 of file compositeinstrumentwrapper.cpp.

                                       {
    for (auto& w : wrappers_) {
        w->reset();
    }
}

NPV()

QuantLib::Real NPV ( ) const

overridevirtual

Return the NPV of this instrument.

Implements InstrumentWrapper.

Definition at line 51 of file compositeinstrumentwrapper.cpp.

                                                   {
    Date today = Settings::instance().evaluationDate();
    if (valuationDate_ != Date()) {
        QL_REQUIRE(today == valuationDate_, "today must be the expected valuation date for this trade");
    }
    Real npv = 0;
    for (Size i = 0; i < wrappers_.size(); i++) {
        npv += wrappers_[i]->NPV() * (fxRates_.empty() ? 1.0 : fxRates_[i]->value());
    }
    for (auto& w : wrappers_) {
        numberOfPricings_ += w->getNumberOfPricings();
        cumulativePricingTime_ += w->getCumulativePricingTime();
        w->resetPricingStats();
    }
    return npv;
}

additionalResults()

const std::map< std::string, boost::any > & additionalResults ( ) const

overridevirtual

Return the additional results of this instrument.

Implements InstrumentWrapper.

Definition at line 68 of file compositeinstrumentwrapper.cpp.

                                                                                       {
    additionalResults_.clear();
    for (auto const& w : wrappers_) {
        additionalResults_.insert(w->additionalResults().begin(), w->additionalResults().end());
    }
    return additionalResults_;
}

updateQlInstruments()

void updateQlInstruments ( )

overridevirtual

call update on enclosed instrument(s)

Reimplemented from InstrumentWrapper.

Definition at line 76 of file compositeinstrumentwrapper.cpp.

                                                     {
    for (auto& w : wrappers_) {
        w->updateQlInstruments();
    }
}

isOption()

bool isOption ( )

overridevirtual

is it an Option?

Reimplemented from InstrumentWrapper.

Definition at line 82 of file compositeinstrumentwrapper.cpp.

                                          {
    for (const auto& w : wrappers_) {
        if (w->isOption()) {
            return true;
        }
    }
    return false;
}

Member Data Documentation

isOption_

bool isOption_

protected

Definition at line 65 of file compositeinstrumentwrapper.hpp.

wrappers_

std::vector<QuantLib::ext::shared_ptr<InstrumentWrapper> > wrappers_

protected

Definition at line 66 of file compositeinstrumentwrapper.hpp.

fxRates_

std::vector<QuantLib::Handle<Quote> > fxRates_

protected

Definition at line 67 of file compositeinstrumentwrapper.hpp.

valuationDate_

Date valuationDate_

protected

Definition at line 68 of file compositeinstrumentwrapper.hpp.

additionalResults_

std::map<std::string, boost::any> additionalResults_

mutableprotected

Definition at line 69 of file compositeinstrumentwrapper.hpp.