EquityOptionPositionInstrumentWrapper Class Reference

Equity Option Position instrument wrapper. More...

#include <ored/portfolio/equityoptionposition.hpp>

Inheritance diagram for EquityOptionPositionInstrumentWrapper:

Collaboration diagram for EquityOptionPositionInstrumentWrapper:

Classes
class	arguments
class	engine
class	results

Public Member Functions
	EquityOptionPositionInstrumentWrapper (const Real quantity, const std::vector< QuantLib::ext::shared_ptr< QuantLib::VanillaOption > > &options, const std::vector< Real > &positions, const std::vector< Real > &weights, const std::vector< Handle< Quote > > &fxConversion={})
void	setNpvCurrencyConversion (const Handle< Quote > &npvCcyConversion)

Instrument interface
Real	quantity_
std::vector< QuantLib::ext::shared_ptr< QuantLib::VanillaOption > >	options_
std::vector< Real >	weights_
std::vector< Real >	positions_
std::vector< Handle< Quote > >	fxConversion_
Handle< Quote >	npvCcyConversion_
bool	isExpired () const override
void	setupArguments (QuantLib::PricingEngine::arguments *) const override
void	fetchResults (const QuantLib::PricingEngine::results *) const override

Detailed Description

Equity Option Position instrument wrapper.

Definition at line 122 of file equityoptionposition.hpp.

Constructor & Destructor Documentation

EquityOptionPositionInstrumentWrapper()

EquityOptionPositionInstrumentWrapper	(	const Real	quantity,
		const std::vector< QuantLib::ext::shared_ptr< QuantLib::VanillaOption > > &	options,
		const std::vector< Real > &	positions,
		const std::vector< Real > &	weights,
		const std::vector< Handle< Quote > > &	fxConversion = {}
	)

Definition at line 203 of file equityoptionposition.cpp.

    : quantity_(quantity), options_(options), weights_(weights), positions_(positions), fxConversion_(fxConversion) {
    QL_REQUIRE(options_.size() == weights_.size(), "EquityOptionPositionInstrumentWrapper: options size ("
                                                       << options_.size() << ") must match weights size ("
                                                       << weights_.size() << ")");
    QL_REQUIRE(fxConversion_.empty() || fxConversion_.size() == options_.size(),
               "EquityPositionInstrumentWrapper: fxConversion size ("
                   << fxConversion_.size() << ") must match options size (" << options_.size() << ")");
    for (auto const& o : options)
        registerWith(o);
    for (auto const& fx : fxConversion)
        registerWith(fx);
}

Member Function Documentation

setNpvCurrencyConversion()

void setNpvCurrencyConversion

(

const Handle< Quote > &

npvCcyConversion

)

Definition at line 219 of file equityoptionposition.cpp.

                                                                                                          {
    unregisterWith(npvCcyConversion_);
    npvCcyConversion_ = npvCcyConversion;
    registerWith(npvCcyConversion_);
    update();
}

isExpired()

bool isExpired ( ) const

override

Definition at line 226 of file equityoptionposition.cpp.

                                                            {
    for (auto const& o : options_)
        if (!o->isExpired())
            return false;
    return true;
}

setupArguments()

void setupArguments ( QuantLib::PricingEngine::arguments *  args ) const

override

Definition at line 233 of file equityoptionposition.cpp.

                                                                                                     {
    EquityOptionPositionInstrumentWrapper::arguments* a =
        dynamic_cast<EquityOptionPositionInstrumentWrapper::arguments*>(args);
    QL_REQUIRE(a != nullptr, "wrong argument type in EquityOptionPositionInstrumentWrapper");
    a->quantity_ = quantity_;
    a->options_ = options_;
    a->weights_ = weights_;
    a->positions_ = positions_;
    a->fxConversion_ = fxConversion_;
    a->npvCcyConversion_ = npvCcyConversion_;
}

fetchResults()

void fetchResults ( const QuantLib::PricingEngine::results *  r ) const

override

Definition at line 245 of file equityoptionposition.cpp.

                                                                                                    {
    Instrument::fetchResults(r);
}

Member Data Documentation

quantity_

Real quantity_

private

Definition at line 144 of file equityoptionposition.hpp.

options_

std::vector<QuantLib::ext::shared_ptr<QuantLib::VanillaOption> > options_

private

Definition at line 145 of file equityoptionposition.hpp.

weights_

std::vector<Real> weights_

private

Definition at line 146 of file equityoptionposition.hpp.

positions_

std::vector<Real> positions_

private

Definition at line 147 of file equityoptionposition.hpp.

fxConversion_

std::vector<Handle<Quote> > fxConversion_

private

Definition at line 148 of file equityoptionposition.hpp.

npvCcyConversion_

Handle<Quote> npvCcyConversion_

private

Definition at line 149 of file equityoptionposition.hpp.