QuantLib::Instrument - Abstract instrument class.


#include <ql/instrument.hpp>

Inherits QuantLib::LazyObject.

Inherited by Bond, CapFloor, CDO, CdsOption, Commodity, CompositeInstrument, CreditDefaultSwap, Forward, InflationSwap, NthToDefault, Option, PathMultiAssetOption, RiskyAssetSwap, Stock, Swap, SyntheticCDO, VarianceOption, and VarianceSwap.

Public Member Functions

virtual void setupArguments (PricingEngine::arguments *) const

virtual void fetchResults (const PricingEngine::results *) const


Real NPV () const
returns the net present value of the instrument.
Real errorEstimate () const
returns the error estimate on the NPV when available.
template<typename T > T result (const std::string &tag) const
returns any additional result returned by the pricing engine.
const std::map< std::string, boost::any > & additionalResults () const
returns all additional result returned by the pricing engine.
virtual bool isExpired () const =0
returns whether the instrument is still tradable.


void setPricingEngine (const boost::shared_ptr< PricingEngine > &)
set the pricing engine to be used.

Protected Member Functions


void calculate () const

virtual void setupExpired () const

virtual void performCalculations () const

Protected Attributes

boost::shared_ptr< PricingEngine > engine_

The value of this attribute and any other that derived classes might declare must be set during calculation.

Real NPV_

Real errorEstimate_

std::map< std::string, boost::any > additionalResults_

Detailed Description

Abstract instrument class.

This class is purely abstract and defines the interface of concrete instruments which will be derived from this one.


observability of class instances is checked.

Member Function Documentation

void setPricingEngine (const boost::shared_ptr< PricingEngine > & e)

set the pricing engine to be used.


calling this method will have no effects in case the performCalculation method was overridden in a derived class.

void setupArguments (PricingEngine::arguments *) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented in CallableBond, CallableFixedRateBond, EnergyCommodity, SyntheticCDO, DividendBarrierOption, PathMultiAssetOption, VarianceOption, ContinuousAveragingAsianOption, DiscreteAveragingAsianOption, AssetSwap, BarrierOption, Bond, CapFloor, CliquetOption, CreditDefaultSwap, DividendVanillaOption, ForwardVanillaOption, HimalayaOption, ContinuousFloatingLookbackOption, ContinuousFixedLookbackOption, MultiAssetOption, PagodaOption, Swap, Swaption, VanillaSwap, VarianceSwap, and Option.

void fetchResults (const PricingEngine::results * r) const [virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented in EnergyCommodity, SyntheticCDO, AssetSwap, Bond, CreditDefaultSwap, ForwardVanillaOption, MultiAssetOption, OneAssetOption, QuantoBarrierOption, QuantoForwardVanillaOption, QuantoVanillaOption, Swap, VanillaSwap, and VarianceSwap.

void calculate () const [protected, virtual]

This method performs all needed calculations by calling the performCalculations method.


Objects cache the results of the previous calculation. Such results will be returned upon later invocations of calculate. When the results depend on arguments which could change between invocations, the lazy object must register itself as observer of such objects for the calculations to be performed again when they change.


Should this method be redefined in derived classes, LazyObject::calculate() should be called in the overriding method.

Reimplemented from LazyObject.

void setupExpired () const [protected, virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented in PathMultiAssetOption, Bond, CreditDefaultSwap, MultiAssetOption, OneAssetOption, Swap, VarianceSwap, and YearOnYearInflationSwap.

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.

Implements LazyObject.

Reimplemented in EnergyBasisSwap, EnergyFuture, EnergyVanillaSwap, ConvertibleBond, CompositeInstrument, FixedRateBondForward, Forward, Stock, YearOnYearInflationSwap, and ZeroCouponInflationSwap.


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