Composite instrument More...
#include <compositeinstrument.hpp>
Inheritance diagram for CompositeInstrument:
Collaboration diagram for CompositeInstrument:
Public Member Functions | |
| void | add (const ext::shared_ptr< Instrument > &instrument, Real multiplier=1.0) |
| adds an instrument to the composite More... | |
| void | subtract (const ext::shared_ptr< Instrument > &instrument, Real multiplier=1.0) |
| shorts an instrument from the composite More... | |
Observer interface | |
| void | deepUpdate () override |
| Public Member Functions inherited from Instrument | |
| Instrument () | |
| 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... | |
| 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 () |
Private Types | |
| typedef std::pair< ext::shared_ptr< Instrument >, Real > | 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 |
| returns whether the instrument might have value greater than zero. More... | |
| void | performCalculations () const override |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const override |
| virtual void | setupExpired () const |
| Protected Member Functions inherited from LazyObject | |
| Protected Attributes inherited from Instrument | |
| 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_ |
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.
- Warning:
- Methods that drive the calculation directly (such as recalculate(), freeze() and others) might not work correctly.
- Examples
- Replication.cpp.
Definition at line 44 of file compositeinstrument.hpp.
Member Typedef Documentation
◆ component
|
private |
Definition at line 45 of file compositeinstrument.hpp.
◆ iterator
Definition at line 46 of file compositeinstrument.hpp.
◆ const_iterator
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private |
Definition at line 47 of file compositeinstrument.hpp.
Member Function Documentation
◆ add()
| void add | ( | const ext::shared_ptr< Instrument > & | instrument, |
| Real | multiplier = 1.0 |
||
| ) |
adds an instrument to the composite
- Examples
- Replication.cpp.
Definition at line 24 of file compositeinstrument.cpp.
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◆ subtract()
| void subtract | ( | const ext::shared_ptr< Instrument > & | instrument, |
| Real | multiplier = 1.0 |
||
| ) |
shorts an instrument from the composite
- Examples
- Replication.cpp.
Definition at line 40 of file compositeinstrument.cpp.
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◆ deepUpdate()
|
overridevirtual |
This method allows to explicitly update the instance itself and nested observers. If notifications are disabled a call to this method ensures an update of such nested observers. It should be implemented in derived classes whenever applicable
Reimplemented from Observer.
Definition at line 60 of file compositeinstrument.cpp.
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◆ isExpired()
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overridevirtual |
returns whether the instrument might have value greater than zero.
Implements Instrument.
Definition at line 45 of file compositeinstrument.cpp.
◆ performCalculations()
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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.
Reimplemented from Instrument.
Definition at line 53 of file compositeinstrument.cpp.
Member Data Documentation
◆ components_
|
private |
Definition at line 67 of file compositeinstrument.hpp.