Abstract instrument class. More...

#include <instrument.hpp>

Inheritance diagram for Instrument:

Collaboration diagram for Instrument:

Classes
class	results

Public Member Functions
	Instrument ()

Inspectors
Real	NPV () const
	returns the net present value of the instrument. More...

Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...

const Date &	valuationDate () const
	returns the date the net present value refers to. More...

template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...

const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...

virtual bool	isExpired () const =0
	returns whether the instrument might have value greater than zero. More...

Modifiers
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...

virtual void	setupArguments (PricingEngine::arguments *) const

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

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

void	update () override

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Protected Member Functions
Calculations
void	calculate () const override

virtual void	setupExpired () const

void	performCalculations () const override

Protected Member Functions inherited from LazyObject

Protected Attributes
Results
The value of this attribute and any other that derived classes might declare must be set during calculation.
Real	NPV_

Real	errorEstimate_

Date	valuationDate_

std::map< std::string, ext::any >	additionalResults_

ext::shared_ptr< PricingEngine >	engine_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

Abstract instrument class.

This class is purely abstract and defines the interface of concrete instruments which will be derived from this one.

Tests:: observability of class instances is checked.

Definition at line 44 of file instrument.hpp.

Constructor & Destructor Documentation

◆ Instrument()

Instrument ( )

Definition at line 26 of file instrument.cpp.

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Member Function Documentation

◆ NPV()

Real NPV ( ) const

returns the net present value of the instrument.

Examples: Bonds.cpp, CDS.cpp, ConvertibleBonds.cpp, EquityOption.cpp, FRA.cpp, MulticurveBootstrapping.cpp, Replication.cpp, and Repo.cpp.

Definition at line 167 of file instrument.hpp.

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◆ errorEstimate()

Real errorEstimate ( ) const

returns the error estimate on the NPV when available.

Definition at line 173 of file instrument.hpp.

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◆ valuationDate()

const Date & valuationDate ( ) const

returns the date the net present value refers to.

Definition at line 180 of file instrument.hpp.

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◆ result()

T result ( const std::string & tag ) const

returns any additional result returned by the pricing engine.

Definition at line 188 of file instrument.hpp.

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◆ additionalResults()

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

returns all additional result returned by the pricing engine.

Definition at line 198 of file instrument.hpp.

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◆ isExpired()

virtual bool isExpired ( ) const

pure virtual

returns whether the instrument might have value greater than zero.

Implemented in EnergyFuture, EnergySwap, EnergyVanillaSwap, CDO, CdsOption, NthToDefault, RiskyAssetSwap, RiskyAssetSwapOption, SyntheticCDO, TwoAssetBarrierOption, WriterExtensibleOption, VanillaVPPOption, PathMultiAssetOption, IrregularSwaption, VarianceOption, Bond, CapFloor, CompositeInstrument, CPICapFloor, CreditDefaultSwap, FloatFloatSwaption, Forward, ForwardRateAgreement, YoYInflationCapFloor, MultiAssetOption, NonstandardSwaption, OneAssetOption, OvernightIndexFuture, Stock, Swap, Swaption, VanillaStorageOption, VanillaSwingOption, and VarianceSwap.

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◆ setPricingEngine()

void setPricingEngine ( const ext::shared_ptr< PricingEngine > & e )

set the pricing engine to be used.

Warning:: calling this method will have no effects in case the performCalculation method was overridden in a derived class.

Examples: Bonds.cpp, CDS.cpp, ConvertibleBonds.cpp, EquityOption.cpp, MulticurveBootstrapping.cpp, and Replication.cpp.

Definition at line 35 of file instrument.cpp.

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◆ setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

virtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented in CatBond, EnergyCommodity, CdsOption, NthToDefault, SyntheticCDO, EverestOption, HimalayaOption, HolderExtensibleOption, PagodaOption, PartialTimeBarrierOption, TwoAssetBarrierOption, TwoAssetCorrelationOption, WriterExtensibleOption, VanillaVPPOption, PathMultiAssetOption, IrregularSwaption, ContinuousAveragingAsianOption, DiscreteAveragingAsianOption, BarrierOption, Bond, ConvertibleBond, CapFloor, CliquetOption, ComplexChooserOption, CompoundOption, CPICapFloor, CreditDefaultSwap, DoubleBarrierOption, FloatFloatSwaption, ForwardVanillaOption, YoYInflationCapFloor, ContinuousFloatingLookbackOption, ContinuousFixedLookbackOption, ContinuousPartialFloatingLookbackOption, ContinuousPartialFixedLookbackOption, MargrabeOption, MultiAssetOption, NonstandardSwaption, SimpleChooserOption, Swap, Swaption, VanillaStorageOption, VanillaSwingOption, Option, CallableBond, IrregularSwap, VarianceOption, AssetSwap, CPISwap, FixedVsFloatingSwap, FloatFloatSwap, NonstandardSwap, VarianceSwap, and YearOnYearInflationSwap.

Definition at line 45 of file instrument.cpp.

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◆ fetchResults()

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

virtual

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented in QuantoDoubleBarrierOption, CatBond, EnergyCommodity, CdsOption, NthToDefault, SyntheticCDO, EverestOption, IrregularSwap, AssetSwap, Bond, CPISwap, CreditDefaultSwap, FixedVsFloatingSwap, FloatFloatSwap, ForwardVanillaOption, MargrabeOption, MultiAssetOption, NonstandardSwap, OneAssetOption, QuantoBarrierOption, QuantoForwardVanillaOption, QuantoVanillaOption, Swap, VarianceSwap, and YearOnYearInflationSwap.

Definition at line 155 of file instrument.hpp.

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◆ calculate()

void calculate ( ) const

overrideprotectedvirtual

This method performs all needed calculations by calling the performCalculations method.

Warning:: Objects cache the results of the previous calculation. Such results will be returned upon later invocations of calculate. When the results depend on arguments which could change between invocations, the lazy object must register itself as observer of such objects for the calculations to be performed again when they change.

Warning:: Should this method be redefined in derived classes, LazyObject::calculate() should be called in the overriding method.

Reimplemented from LazyObject.

Definition at line 129 of file instrument.hpp.

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◆ setupExpired()

void setupExpired ( ) const

protectedvirtual

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented in QuantoDoubleBarrierOption, CDO, CdsOption, NthToDefault, RiskyAssetSwap, SyntheticCDO, PathMultiAssetOption, IrregularSwap, AssetSwap, Bond, CPISwap, CreditDefaultSwap, FixedVsFloatingSwap, FloatFloatSwap, ForwardRateAgreement, MultiAssetOption, NonstandardSwap, OneAssetOption, QuantoBarrierOption, QuantoForwardVanillaOption, QuantoVanillaOption, Swap, VarianceSwap, and YearOnYearInflationSwap.

Definition at line 140 of file instrument.hpp.

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◆ performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Implements LazyObject.

Reimplemented in BondForward, CompositeInstrument, Forward, ForwardRateAgreement, OvernightIndexFuture, and Stock.

Definition at line 146 of file instrument.hpp.

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Member Data Documentation

◆ NPV_

Real NPV_

mutableprotected

Definition at line 106 of file instrument.hpp.

◆ errorEstimate_

Real errorEstimate_

protected

Definition at line 106 of file instrument.hpp.

◆ valuationDate_

Date valuationDate_

mutableprotected

Definition at line 107 of file instrument.hpp.

◆ additionalResults_

std::map<std::string, ext::any> additionalResults_

mutableprotected

Definition at line 108 of file instrument.hpp.

◆ engine_

ext::shared_ptr<PricingEngine> engine_

protected

Definition at line 110 of file instrument.hpp.

Classes

Public Member Functions

Protected Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Instrument()

Member Function Documentation

◆ NPV()

◆ errorEstimate()

◆ valuationDate()

◆ result()

◆ additionalResults()

◆ isExpired()

◆ setPricingEngine()

◆ setupArguments()

◆ fetchResults()

◆ calculate()

◆ setupExpired()

◆ performCalculations()

Member Data Documentation

◆ NPV_

◆ errorEstimate_

◆ valuationDate_

◆ additionalResults_

◆ engine_