| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2006 StatPro Italia srl |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include <ql/instruments/compositeinstrument.hpp> |
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| 21 | |
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| 22 | namespace QuantLib { |
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| 23 | |
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| 24 | void CompositeInstrument::add(const ext::shared_ptr<Instrument>& instrument, Real multiplier) { |
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| 25 | QL_REQUIRE(instrument, "null instrument provided" ); |
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| 26 | components_.emplace_back(args: instrument, args&: multiplier); |
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| 27 | registerWith(h: instrument); |
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| 28 | update(); |
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| 29 | // When we ask for the NPV of an expired composite, the |
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| 30 | // components are not recalculated and thus wouldn't forward |
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| 31 | // later notifications according to the default behavior of |
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| 32 | // LazyObject instances. This means that even if the |
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| 33 | // evaluation date changes so that the composite is no longer |
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| 34 | // expired, the instrument wouldn't be notified and thus it |
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| 35 | // wouldn't recalculate. To avoid this, we override the |
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| 36 | // default behavior of the components. |
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| 37 | instrument->alwaysForwardNotifications(); |
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| 38 | } |
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| 39 | |
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| 40 | void CompositeInstrument::subtract( |
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| 41 | const ext::shared_ptr<Instrument>& instrument, Real multiplier) { |
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| 42 | add(instrument, multiplier: -multiplier); |
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| 43 | } |
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| 44 | |
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| 45 | bool CompositeInstrument::isExpired() const { |
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| 46 | for (const auto& component : components_) { |
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| 47 | if (!component.first->isExpired()) |
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| 48 | return false; |
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| 49 | } |
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| 50 | return true; |
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| 51 | } |
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| 52 | |
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| 53 | void CompositeInstrument::performCalculations() const { |
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| 54 | NPV_ = 0.0; |
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| 55 | for (const auto& component : components_) { |
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| 56 | NPV_ += component.second * component.first->NPV(); |
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| 57 | } |
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| 58 | } |
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| 59 | |
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| 60 | void CompositeInstrument::deepUpdate() { |
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| 61 | for (const_iterator i=components_.begin(); i!=components_.end(); ++i) { |
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| 62 | i->first->deepUpdate(); |
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| 63 | } |
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| 64 | update(); |
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| 65 | } |
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| 66 | |
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| 67 | } |
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| 68 | |
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| 69 | |
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