QuantLib_CompositeInstrument (3) - Linux Manuals

QuantLib_CompositeInstrument: Composite instrument

NAME

QuantLib::CompositeInstrument - Composite instrument

SYNOPSIS

#include <ql/instruments/compositeinstrument.hpp>

Inherits QuantLib::Instrument.

Public Member Functions

void add (const boost::shared_ptr< Instrument > &instrument, Real multiplier=1.0)
adds an instrument to the composite
void subtract (const boost::shared_ptr< Instrument > &instrument, Real multiplier=1.0)
shorts an instrument from the composite

Instrument interface

bool isExpired () const
returns whether the instrument is still tradable.
void performCalculations () const

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.

Example: static replication of a down-and-out barrier option

Warning

Methods that drive the calculation directly (such as recalculate(), freeze() and others) might not work correctly.

Examples:

Replication.cpp.

Member Function Documentation

void performCalculations () const [protected, virtual]

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.

Author

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