MultiCcyCompositeInstrument Class Reference

Composite instrument More...

#include <qle/instruments/multiccycompositeinstrument.hpp>

Inheritance diagram for MultiCcyCompositeInstrument:

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

Instrument interface
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.