Financial instruments

Classes
class	DigitalCoupon
	Digital-payoff coupon. More...
class	CallableBond
	Callable bond base class. More...
class	CallableFixedRateBond
	callable/puttable fixed rate bond More...
class	CallableZeroCouponBond
	callable/puttable zero coupon bond More...
class	Commodity
	Commodity base class. More...
class	EnergyCommodity
	Energy commodity class. More...
class	EnergyFuture
	Energy future. More...
class	CompoundOption
	Compound option on a single asset. More...
class	MargrabeOption
	Margrabe option on two assets. More...
class	PagodaOption
	Roofed Asian option on a number of assets. More...
class	TwoAssetBarrierOption
	Barrier option on two assets More...
class	VarianceOption
	Variance option. More...
class	ContinuousAveragingAsianOption
	Continuous-averaging Asian option. More...
class	DiscreteAveragingAsianOption
	Discrete-averaging Asian option. More...
class	AssetSwap
	Bullet bond vs Libor swap. More...
class	BarrierOption
	Barrier option on a single asset. More...
class	BasketOption
	Basket option on a number of assets. More...
class	Bond
	Base bond class. More...
class	CCTEU
class	BTP
	Italian BTP (Buono Poliennali del Tesoro) fixed rate bond. More...
class	CmsRateBond
	CMS-rate bond. More...
class	CPIBond
class	FixedRateBond
	fixed-rate bond More...
class	FloatingRateBond
	floating-rate bond (possibly capped and/or floored) More...
class	ZeroCouponBond
	zero-coupon bond More...
class	CapFloor
	Base class for cap-like instruments. More...
class	Cap
	Concrete cap class. More...
class	Floor
	Concrete floor class. More...
class	Collar
	Concrete collar class. More...
class	CliquetOption
	cliquet (Ratchet) option More...
class	CompositeInstrument
	Composite instrument More...
class	CreditDefaultSwap
	Credit default swap. More...
class	DividendBarrierOption
	Single-asset barrier option with discrete dividends. More...
class	DividendVanillaOption
	Single-asset vanilla option (no barriers) with discrete dividends. More...
class	EuropeanOption
	European option on a single asset. More...
class	FixedRateBondForward
	Forward contract on a fixed-rate bond More...
class	Forward
	Abstract base forward class. More...
class	ForwardVanillaOption
	Forward version of a vanilla option More...
class	YoYInflationCapFloor
	Base class for yoy inflation cap-like instruments. More...
class	YoYInflationCap
	Concrete YoY Inflation cap class. More...
class	YoYInflationFloor
	Concrete YoY Inflation floor class. More...
class	YoYInflationCollar
	Concrete YoY Inflation collar class. More...
class	ContinuousFloatingLookbackOption
	Continuous-floating lookback option. More...
class	ContinuousFixedLookbackOption
	Continuous-fixed lookback option. More...
class	QuantoBarrierOption
	Quanto version of a barrier option. More...
class	QuantoForwardVanillaOption
	Quanto version of a forward vanilla option. More...
class	QuantoVanillaOption
	quanto version of a vanilla option More...
class	Stock
	Simple stock class. More...
class	Swap
	Interest rate swap. More...
class	Swaption
	Swaption class More...
class	VanillaOption
	Vanilla option (no discrete dividends, no barriers) on a single asset. More...
class	VanillaSwap
	Plain-vanilla swap: fix vs floating leg. More...
class	VarianceSwap
	Variance swap. More...

Detailed Description

Since version 0.3.4, the Instrument class was reworked as shown in the following figure.

On the one hand, the checking of the expiration condition is now performed in a method isExpired() separated from the actual calculation, and a setupExpired() method is provided. The latter sets the NPV to 0.0 and can be extended in derived classes should any other results be returned.

On the other hand, the pricing-engine machinery previously contained in the Option class was moved upwards to the Instrument class. Also, the setupEngine() method was replaced by a setupArguments(Arguments*) method. This allows one to cleanly implement containment of instruments with code such as:

class FooArguments : public Arguments { ... };

class Foo : public Instrument {
  public:
    void setupArguments(Arguments*);
    ...
};

class FooOptionArguments : public FooArguments { ... };

class FooOption : public Option {
  private:
    Foo underlying_;
  public:
    void setupArguments(Arguments* args) {
        underlying_.setupArguments(args);
        // set the option-specific part
    }
    ...
};

which was more difficult to write with setupEngine().

Therefore, there are now two ways to inherit from Instrument, namely:

-# implement the <tt>isExpired</tt> method, and completely 
   override the <tt>performCalculations</tt> method so that 
   it bypasses the pricing-engine machinery. If the class 
   declared any other results beside <tt>NPV_</tt> and 
   <tt>errorEstimate_</tt>, the <tt>setupExpired</tt> method 
   should also be extended so that those results are set to a
   value suitable for an expired instrument. This was the migration
   path taken for all instruments not previously deriving from
   the <tt>Option</tt> class.
-# define suitable argument and result classes for the instrument
   and implement the <tt>isExpired</tt> and <tt>setupArguments</tt>
   methods, reusing the pricing-engine machinery provided by
   the default <tt>performCalculations</tt> method. The latter 
   can be extended by first calling the default implementation
   and then performing any additional tasks required by the 
   instrument---most often, copying additional results from the
   pricing engine results to the corresponding data members of
   the instrument. As in the previous case, the <tt>setupExpired</tt> 
   method can be extended to account for such extra data members.