MultiCcyCompositeInstrument Class Reference

Composite instrument More...

#include <qle/instruments/multiccycompositeinstrument.hpp>

Inheritance diagram for MultiCcyCompositeInstrument:

Collaboration diagram for MultiCcyCompositeInstrument:

Public Member Functions
void	add (const ext::shared_ptr< Instrument > &instrument, Real multiplier=1.0, const Handle< Quote > &fx=Handle< Quote >(QuantLib::ext::make_shared< SimpleQuote >(1.0)))
	adds an instrument to the composite More...
void	subtract (const ext::shared_ptr< Instrument > &instrument, Real multiplier=1.0, const Handle< Quote > &fx=Handle< Quote >(QuantLib::ext::make_shared< SimpleQuote >(1.0)))
	shorts an instrument from the composite More...
Observer interface
void	deepUpdate () override

Private Types
typedef std::tuple< ext::shared_ptr< Instrument >, Real, Handle< Quote > >	component
typedef std::list< component >::iterator	iterator
typedef std::list< component >::const_iterator	const_iterator

Instrument interface
std::list< component >	components_
bool	isExpired () const override
void	performCalculations () const override

Detailed Description

Composite instrument

This instrument is an aggregate of other instruments. Its NPV is the sum of the NPVs of its components, each possibly multiplied by a given factor, and an FX rate.

Warning:

Methods that drive the calculation directly (such as recalculate(), freeze() and others) might not work correctly.

Definition at line 46 of file multiccycompositeinstrument.hpp.

Member Typedef Documentation

component

typedef std::tuple<ext::shared_ptr<Instrument>, Real, Handle<Quote> > component

private

Definition at line 47 of file multiccycompositeinstrument.hpp.

iterator

typedef std::list<component>::iterator iterator

private

Definition at line 48 of file multiccycompositeinstrument.hpp.

const_iterator

typedef std::list<component>::const_iterator const_iterator

private

Definition at line 49 of file multiccycompositeinstrument.hpp.

Member Function Documentation

add()

void add	(	const ext::shared_ptr< Instrument > &	instrument,
		Real	multiplier = 1.0,
		const Handle< Quote > &	fx = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(1.0))
	)

adds an instrument to the composite

Definition at line 24 of file multiccycompositeinstrument.cpp.

                                                               {
    components_.push_back(std::make_tuple(instrument, multiplier, fx));
    registerWith(instrument);
    registerWith(fx);
    update();
    // When we ask for the NPV of an expired composite, the
    // components are not recalculated and thus wouldn't forward
    // later notifications according to the default behavior of
    // LazyObject instances.  This means that even if the
    // evaluation date changes so that the composite is no longer
    // expired, the instrument wouldn't be notified and thus it
    // wouldn't recalculate.  To avoid this, we override the
    // default behavior of the components.
    instrument->alwaysForwardNotifications();
}

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subtract()

void subtract	(	const ext::shared_ptr< Instrument > &	instrument,
		Real	multiplier = 1.0,
		const Handle< Quote > &	fx = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(1.0))
	)

shorts an instrument from the composite

Definition at line 41 of file multiccycompositeinstrument.cpp.

                                                                    {
    add(instrument, -multiplier, fx);
}

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deepUpdate()

void deepUpdate ( )

override

Definition at line 69 of file multiccycompositeinstrument.cpp.

                                             {
    for (const_iterator i = components_.cbegin(); i != components_.end(); ++i) {
        std::get<0>(*i)->deepUpdate();
    }
    update();
}

isExpired()

bool isExpired ( ) const

override

Definition at line 46 of file multiccycompositeinstrument.cpp.

                                                  {
    for (const_iterator i = components_.cbegin(); i != components_.end(); ++i) {
        if (!std::get<0>(*i)->isExpired())
            return false;
    }
    return true;
}

performCalculations()

void performCalculations ( ) const

overrideprotected

Definition at line 54 of file multiccycompositeinstrument.cpp.

                                                            {
    NPV_ = 0.0;
    additionalResults_.clear();
    Size counter = 0;
    for (const_iterator i = components_.cbegin(); i != components_.end(); ++i, ++counter) {
        // npv += npv * fx * multiplier
        NPV_ += std::get<1>(*i) * std::get<2>(*i)->value() * std::get<0>(*i)->NPV();
        for (auto const& k : std::get<0>(*i)->additionalResults()) {
            additionalResults_[k.first + "_" + std::to_string(counter)] = k.second;
        }
        additionalResults_["__multiplier_" + std::to_string(counter)] = std::get<1>(*i);
        additionalResults_["__fx_conversion_" + std::to_string(counter)] = std::get<2>(*i)->value();
    }
}

Member Data Documentation

components_

std::list<component> components_

private

Definition at line 70 of file multiccycompositeinstrument.hpp.