InstrumentWrapper Class Reference

Instrument Wrapper. More...

#include <ored/portfolio/instrumentwrapper.hpp>

Inheritance diagram for InstrumentWrapper:

Collaboration diagram for InstrumentWrapper:

Public Member Functions
	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 Member Functions
Real	getTimedNPV (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &instr) const

Protected Attributes
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

Detailed Description

Instrument Wrapper.

Wrap Instrument base class Derived classes should

• store instrument "state" for each scenario
• adjust the instrument pricing formula to account for state

Definition at line 47 of file instrumentwrapper.hpp.

Constructor & Destructor Documentation

InstrumentWrapper() [1/2]

InstrumentWrapper

(

)

Definition at line 24 of file instrumentwrapper.cpp.

: instrument_(nullptr), multiplier_(1.0) {}

InstrumentWrapper() [2/2]

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>()
	)

Definition at line 26 of file instrumentwrapper.cpp.

    : instrument_(inst), multiplier_(multiplier), additionalInstruments_(additionalInstruments),
      additionalMultipliers_(additionalMultipliers) {
    QL_REQUIRE(additionalInstruments_.size() == additionalMultipliers_.size(),
               "vector size mismatch, instruments (" << additionalInstruments_.size() << ") vs multipliers ("
                                                     << additionalMultipliers_.size() << ")");
}

~InstrumentWrapper()

virtual ~InstrumentWrapper ( )

virtual

Definition at line 55 of file instrumentwrapper.hpp.

{}

Member Function Documentation

initialise()

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

pure virtual

Initialise with the given date grid.

Implemented in VanillaInstrument, BondPositionInstrumentWrapper, CompositeInstrumentWrapper, and OptionWrapper.

reset()

virtual void reset ( )

pure virtual

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

Implemented in BondPositionInstrumentWrapper, CompositeInstrumentWrapper, VanillaInstrument, and OptionWrapper.

NPV()

virtual QuantLib::Real NPV ( ) const

pure virtual

Return the NPV of this instrument.

Implemented in BarrierOptionWrapper, BondPositionInstrumentWrapper, CompositeInstrumentWrapper, VanillaInstrument, and OptionWrapper.

Here is the caller graph for this function:

additionalResults()

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

pure virtual

Return the additional results of this instrument.

Implemented in BarrierOptionWrapper, BondPositionInstrumentWrapper, CompositeInstrumentWrapper, VanillaInstrument, and OptionWrapper.

additionalInstrumentsNPV()

QuantLib::Real additionalInstrumentsNPV

(

)

const

Definition at line 36 of file instrumentwrapper.cpp.

                                                               {
    Real npv = 0.0;
    for (QuantLib::Size i = 0; i < additionalInstruments_.size(); ++i)
        npv += additionalInstruments_[i]->NPV() * additionalMultipliers_[i];
    return npv;
}

Here is the call graph for this function:

Here is the caller graph for this function:

updateQlInstruments()

void updateQlInstruments ( )

virtual

call update on enclosed instrument(s)

Reimplemented in BondPositionInstrumentWrapper, CompositeInstrumentWrapper, and OptionWrapper.

Definition at line 43 of file instrumentwrapper.cpp.

                                            {
    // the instrument might contain nested lazy objects which we also want to be updated
    instrument_->deepUpdate();
    for (QuantLib::Size i = 0; i < additionalInstruments_.size(); ++i)
        additionalInstruments_[i]->deepUpdate();
}

Here is the caller graph for this function:

isOption()

bool isOption ( )

virtual

is it an Option?

Reimplemented in CompositeInstrumentWrapper, and OptionWrapper.

Definition at line 50 of file instrumentwrapper.cpp.

{ return false; }

qlInstrument()

QuantLib::ext::shared_ptr< QuantLib::Instrument > qlInstrument

(

const bool

calculate = false

)

const

Inspectors.

The "QuantLib" instrument Pass true if you trigger a calculation on the returned instrument and want to record the timing for that calculation. If in doubt whether a calculation is triggered, pass false.

Definition at line 52 of file instrumentwrapper.cpp.

                                                                                                    {
    if (calculate && instrument_ != nullptr) {
        getTimedNPV(instrument_);
    }
    return instrument_;
}

Here is the call graph for this function:

multiplier()

Real multiplier

(

)

const

The multiplier

Definition at line 59 of file instrumentwrapper.cpp.

{ return multiplier_; }

multiplier2()

Real multiplier2 ( ) const

virtual

multiplier to be applied on top of multiplier(), e.g. -1 for short options

Reimplemented in OptionWrapper.

Definition at line 61 of file instrumentwrapper.cpp.

{ return 1.0; }

additionalInstruments()

const std::vector< QuantLib::ext::shared_ptr< QuantLib::Instrument > > & additionalInstruments

(

)

const

additional instruments

Definition at line 63 of file instrumentwrapper.cpp.

                                                                                                           {
    return additionalInstruments_;
}

additionalMultipliers()

const std::vector< Real > & additionalMultipliers

(

)

const

multipliers for additional instruments

Definition at line 67 of file instrumentwrapper.cpp.

{ return additionalMultipliers_; }

getCumulativePricingTime()

boost::timer::nanosecond_type getCumulativePricingTime

(

)

const

Get cumulative timing spent on pricing.

Definition at line 69 of file instrumentwrapper.cpp.

{ return cumulativePricingTime_; }

getNumberOfPricings()

std::size_t getNumberOfPricings

(

)

const

Get number of pricings.

Definition at line 71 of file instrumentwrapper.cpp.

{ return numberOfPricings_; }

resetPricingStats()

void resetPricingStats

(

)

const

Reset pricing statistics.

Definition at line 73 of file instrumentwrapper.cpp.

                                                {
    numberOfPricings_ = 0;
    cumulativePricingTime_ = 0;
}

getTimedNPV()

Real getTimedNPV ( const QuantLib::ext::shared_ptr< QuantLib::Instrument > &  instr ) const

protected

Definition at line 78 of file instrumentwrapper.cpp.

                                                                                                {
    if (instr == nullptr)
        return 0.0;
    if (instr->isCalculated() || instr->isExpired())
        return instr->NPV();
    boost::timer::cpu_timer timer_;
    Real tmp = instr->NPV();
    cumulativePricingTime_ += timer_.elapsed().wall;
    ++numberOfPricings_;
    return tmp;
}

Here is the caller graph for this function:

Member Data Documentation

instrument_

QuantLib::ext::shared_ptr<QuantLib::Instrument> instrument_

protected

Definition at line 109 of file instrumentwrapper.hpp.

multiplier_

Real multiplier_

protected

Definition at line 110 of file instrumentwrapper.hpp.

additionalInstruments_

std::vector<QuantLib::ext::shared_ptr<QuantLib::Instrument> > additionalInstruments_

protected

Definition at line 111 of file instrumentwrapper.hpp.

additionalMultipliers_

std::vector<Real> additionalMultipliers_

protected

Definition at line 112 of file instrumentwrapper.hpp.

numberOfPricings_

std::size_t numberOfPricings_ = 0

mutableprotected

Definition at line 117 of file instrumentwrapper.hpp.

cumulativePricingTime_

boost::timer::nanosecond_type cumulativePricingTime_ = 0

mutableprotected

Definition at line 118 of file instrumentwrapper.hpp.