EquityPositionInstrumentWrapper Class Reference

Equity Position instrument wrapper. More...

#include <ored/portfolio/equityposition.hpp>

Inheritance diagram for EquityPositionInstrumentWrapper:

Collaboration diagram for EquityPositionInstrumentWrapper:

Classes
class	arguments
class	engine
class	results

Public Member Functions
	EquityPositionInstrumentWrapper (const Real quantity, const std::vector< QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > > &equities, const std::vector< Real > &weights, const std::vector< Handle< Quote > > &fxConversion={})

Instrument interface
Real	quantity_
std::vector< QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > >	equities_
std::vector< Real >	weights_
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
void	setNpvCurrencyConversion (const Handle< Quote > &npvCcyConversion)
void	setupExpired () const override

Detailed Description

Equity Position instrument wrapper.

Definition at line 84 of file equityposition.hpp.

Constructor & Destructor Documentation

EquityPositionInstrumentWrapper()

EquityPositionInstrumentWrapper	(	const Real	quantity,
		const std::vector< QuantLib::ext::shared_ptr< QuantExt::EquityIndex2 > > &	equities,
		const std::vector< Real > &	weights,
		const std::vector< Handle< Quote > > &	fxConversion = {}
	)

Definition at line 127 of file equityposition.cpp.

    : quantity_(quantity), equities_(equities), weights_(weights), fxConversion_(fxConversion) {
    QL_REQUIRE(equities_.size() == weights_.size(), "EquityPositionInstrumentWrapper: equities size ("
                                                        << equities_.size() << ") must match weights size ("
                                                        << weights_.size() << ")");
    QL_REQUIRE(fxConversion_.empty() || fxConversion_.size() == equities_.size(),
               "EquityPositionInstrumentWrapper: fxConversion size ("
                   << fxConversion_.size() << ") must match equities size (" << equities_.size() << ")");
    for (auto const& i : equities_)
        registerWith(i);
    for (auto const& f : fxConversion_)
        registerWith(f);
    registerWith(npvCcyConversion_);
}

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 148 of file equityposition.cpp.

{ return false; }

setupArguments()

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

override

Definition at line 152 of file equityposition.cpp.

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

fetchResults()

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

override

Definition at line 162 of file equityposition.cpp.

                                                                                      {
    Instrument::fetchResults(r);
}

setNpvCurrencyConversion()

void setNpvCurrencyConversion

(

const Handle< Quote > &

npvCcyConversion

)

Definition at line 144 of file equityposition.cpp.

                                                                                                    {
    npvCcyConversion_ = npvCcyConversion;
}

setupExpired()

void setupExpired ( ) const

overrideprivate

Definition at line 150 of file equityposition.cpp.

{ Instrument::setupExpired(); }

Member Data Documentation

quantity_

Real quantity_

private

Definition at line 105 of file equityposition.hpp.

equities_

std::vector<QuantLib::ext::shared_ptr<QuantExt::EquityIndex2> > equities_

private

Definition at line 106 of file equityposition.hpp.

weights_

std::vector<Real> weights_

private

Definition at line 107 of file equityposition.hpp.

fxConversion_

std::vector<Handle<Quote> > fxConversion_

private

Definition at line 108 of file equityposition.hpp.

npvCcyConversion_

Handle<Quote> npvCcyConversion_

private

Definition at line 109 of file equityposition.hpp.