VanillaInstrument Class Reference

Vanilla Instrument Wrapper. More...

#include <ored/portfolio/instrumentwrapper.hpp>

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Public Member Functions
	VanillaInstrument (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 >())
void	initialise (const std::vector< QuantLib::Date > &) 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...
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...

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

Detailed Description

Vanilla Instrument Wrapper.

Derived from InstrumentWrapper Used for any non path-dependent trades

Definition at line 128 of file instrumentwrapper.hpp.

Constructor & Destructor Documentation

VanillaInstrument()

VanillaInstrument	(	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 90 of file instrumentwrapper.cpp.

    : InstrumentWrapper(inst, multiplier, additionalInstruments, additionalMultipliers) {}

Member Function Documentation

initialise()

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

overridevirtual

Initialise with the given date grid.

Implements InstrumentWrapper.

Definition at line 135 of file instrumentwrapper.hpp.

{};

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 136 of file instrumentwrapper.hpp.

{}

NPV()

QuantLib::Real NPV ( ) const

overridevirtual

Return the NPV of this instrument.

Implements InstrumentWrapper.

Definition at line 95 of file instrumentwrapper.cpp.

                                          {
    return getTimedNPV(instrument_) * multiplier_ + additionalInstrumentsNPV();
}

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additionalResults()

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

overridevirtual

Return the additional results of this instrument.

Implements InstrumentWrapper.

Definition at line 99 of file instrumentwrapper.cpp.

                                                                              {
    static std::map<std::string, boost::any> empty;
    if (instrument_ == nullptr)
        return empty;
    getTimedNPV(instrument_);
    return instrument_->additionalResults();
}

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