Reference manual - version ored_version
Composite Instrument Wrapper. More...
#include <ored/portfolio/compositeinstrumentwrapper.hpp>
Inheritance diagram for CompositeInstrumentWrapper:Public Member Functions | |
| CompositeInstrumentWrapper (const std::vector< boost::shared_ptr< InstrumentWrapper >> &wrappers, const std::vector< Handle< Quote >> &fxRates={}, const Date &valuationDate=Date()) | |
| void | initialise (const std::vector< QuantLib::Date > &dates) override |
| Initialise with the given date grid. | |
| 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. | |
| const std::map< std::string, boost::any > & | additionalResults () const override |
| Return the additional results of this instrument. | |
| void | updateQlInstruments () override |
| call update on enclosed instrument(s) | |
| bool | isOption () override |
| is it an Option? | |
| Public Member Functions inherited from InstrumentWrapper | |
| InstrumentWrapper (const boost::shared_ptr< QuantLib::Instrument > &inst, const Real multiplier=1.0, const std::vector< boost::shared_ptr< QuantLib::Instrument >> &additionalInstruments=std::vector< boost::shared_ptr< QuantLib::Instrument >>(), const std::vector< Real > &additionalMultipliers=std::vector< Real >()) | |
| QuantLib::Real | additionalInstrumentsNPV () const |
| boost::shared_ptr< QuantLib::Instrument > | qlInstrument (const bool calculate=false) const |
| Inspectors. More... | |
| Real | multiplier () const |
| virtual Real | multiplier2 () const |
| const std::vector< boost::shared_ptr< QuantLib::Instrument > > & | additionalInstruments () const |
| const std::vector< Real > & | additionalMultipliers () const |
| boost::timer::nanosecond_type | getCumulativePricingTime () const |
| Get cumulative timing spent on pricing. | |
| std::size_t | getNumberOfPricings () const |
| Get number of pricings. | |
| void | resetPricingStats () const |
| Reset pricing statistics. | |
Protected Attributes | |
| bool | isOption_ |
| std::vector< boost::shared_ptr< InstrumentWrapper > > | wrappers_ |
| std::vector< QuantLib::Handle< Quote > > | fxRates_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
| Protected Attributes inherited from InstrumentWrapper | |
| boost::shared_ptr< QuantLib::Instrument > | instrument_ |
| Real | multiplier_ |
| std::vector< boost::shared_ptr< QuantLib::Instrument > > | additionalInstruments_ |
| std::vector< Real > | additionalMultipliers_ |
| std::size_t | numberOfPricings_ = 0 |
| boost::timer::nanosecond_type | cumulativePricingTime_ = 0 |
Additional Inherited Members | |
| Protected Member Functions inherited from InstrumentWrapper | |
| Real | getTimedNPV (const boost::shared_ptr< QuantLib::Instrument > &instr) const |
Composite Instrument Wrapper.
A Composite Instrument Wrapper will return the sum npv for all wrappers passed in. Notice that qlInstrument() will return a nullptr.
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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.
