#include <ored/portfolio/instrumentwrapper.hpp>

Inheritance diagram for InstrumentWrapper:

Public Member Functions
	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 >())

virtual void	initialise (const std::vector< QuantLib::Date > &dates)=0
	Initialise with the given date grid.

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.

virtual const std::map< std::string, boost::any > &	additionalResults () const =0
	Return the additional results of this instrument.

QuantLib::Real	additionalInstrumentsNPV () const

virtual void	updateQlInstruments ()
	call update on enclosed instrument(s)

virtual bool	isOption ()
	is it an Option?

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 Member Functions
Real	getTimedNPV (const boost::shared_ptr< QuantLib::Instrument > &instr) const

Protected Attributes
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

Detailed Description

Instrument Wrapper.

Wrap Instrument base class Derived classes should

store instrument "state" for each scenario
adjust the instrument pricing formula to account for state

Member Function Documentation

◆ reset()

virtual void reset ( )

pure virtual

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

Implemented in OptionWrapper, VanillaInstrument, CompositeInstrumentWrapper, and BondPositionInstrumentWrapper.

◆ qlInstrument()

boost::shared_ptr<QuantLib::Instrument> qlInstrument ( const bool calculate = false ) const

Inspectors.

The "QuantLib" instrument Pass true if you trigger a calculation on the returned instrument and want to record the timing for that calculation. If in doubt whether a calculation is triggered, pass false.

◆ multiplier()

Real multiplier ( ) const

The multiplier

◆ multiplier2()

virtual Real multiplier2 ( ) const

virtual

multiplier to be applied on top of multiplier(), e.g. -1 for short options

Reimplemented in OptionWrapper.

◆ additionalInstruments()

const std::vector<boost::shared_ptr<QuantLib::Instrument> >& additionalInstruments ( ) const

additional instruments

◆ additionalMultipliers()

const std::vector<Real>& additionalMultipliers ( ) const

multipliers for additional instruments

Public Member Functions

Protected Member Functions

Protected Attributes