#include <PortFolio.h>
Public Member Functions | |
Portfolio (char *name, Currency currency) | |
Default Constructor : just initialization of size. | |
~Portfolio (void) | |
char * | getName () |
Return name of the portfolio. | |
Currency | getCurrency () |
Return currency of the portfolio. | |
char * | getCurrencyAsString () |
Return currency of the portfolio as a string. | |
void | addOptionStrategy (OptionStrategy *optionStrategy) |
Add one option to the Portfolio. | |
void | addRainbowOption (RainbowOption *rainbowOption, Real quantity) |
Add one rainbow option to the Portfolio. | |
void | addExoticOption (Exotics *exoticOption, Real quantity) |
Add one exotic option to the Portfolio. | |
void | addVanillaSwap (VanillaSwap *vanillaSwap, Real quantity) |
Add one vanilla swap to the Portfolio. | |
void | addVarianceSwap (VarianceSwap *varSwap, Real quantity) |
Add one variance swap to the Portfolio. | |
void | addBond (bond *oneBond, Real quantity) |
Add one bond to the Portfolio. | |
void | addAsset (asset *oneAsset, Real quantity) |
Add one asset to the Portfolio. | |
Real | getPrice () |
Return Price of the whole Portfolio. | |
Real | returnSensibilityToRate () |
Return sensibility to interest rate. | |
Real | returnSensibilityToVol () |
Return sensibility to volatility. | |
Real | returnSensibilityToTime () |
Return sensibility to time. | |
Private Attributes | |
char * | _name |
Currency | _currency |
OptionStrategy | _optionStrategy |
valarray< RainbowOption * > | _rainbowOptions |
valarray< Exotics * > | _exoticsOptions |
valarray< VanillaSwap * > | _vanSwaps |
valarray< VarianceSwap * > | _varSwaps |
valarray< bond * > | _bonds |
valarray< asset * > | _assets |
valarray< Real > | _quantityRainbowOptions |
valarray< Real > | _quantityExoticsOptions |
valarray< Real > | _quantityVanSwaps |
valarray< Real > | _quantityVarSwaps |
valarray< Real > | _quantityBonds |
valarray< Real > | _quantityAssets |
Natural | _nbRainbowOptions |
Natural | _nbExoticsOptions |
Natural | _nbVanSwaps |
Natural | _nbVarSwaps |
Natural | _nbBonds |
Natural | _nbAssets |
Definition at line 24 of file PortFolio.h.
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Default Constructor : just initialization of size.
Definition at line 3 of file PortFolio.cpp. References _assets, _bonds, _nbAssets, _nbBonds, _nbRainbowOptions, _nbVanSwaps, _nbVarSwaps, _optionStrategy, _rainbowOptions, _vanSwaps, _varSwaps, MAX_SIZE, and MAX_SIZE_NAME. |
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Definition at line 21 of file PortFolio.cpp. |
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Add one asset to the Portfolio.
Definition at line 85 of file PortFolio.cpp. References _assets, _nbAssets, _quantityAssets, and Real. |
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Add one bond to the Portfolio.
Definition at line 79 of file PortFolio.cpp. References _bonds, _nbBonds, _quantityBonds, and Real. |
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Add one exotic option to the Portfolio.
Definition at line 61 of file PortFolio.cpp. References _exoticsOptions, _nbExoticsOptions, _quantityExoticsOptions, and Real. |
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Add one option to the Portfolio.
Definition at line 51 of file PortFolio.cpp. References _optionStrategy. |
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Add one rainbow option to the Portfolio.
Definition at line 55 of file PortFolio.cpp. References _nbRainbowOptions, _quantityRainbowOptions, _rainbowOptions, and Real. |
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Add one vanilla swap to the Portfolio.
Definition at line 67 of file PortFolio.cpp. References _nbVanSwaps, _quantityVanSwaps, _vanSwaps, and Real. |
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Add one variance swap to the Portfolio.
Definition at line 73 of file PortFolio.cpp. References _nbVarSwaps, _quantityVarSwaps, _varSwaps, and Real. |
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Return currency of the portfolio.
Definition at line 29 of file PortFolio.cpp. References Currency. |
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Return currency of the portfolio as a string.
Definition at line 33 of file PortFolio.cpp. References CAD, EUR, MAX_SIZE_NAME, and USD. |
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Return name of the portfolio.
Definition at line 25 of file PortFolio.cpp. |
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Return Price of the whole Portfolio.
Definition at line 91 of file PortFolio.cpp. References _assets, _bonds, _exoticsOptions, _nbAssets, _nbBonds, _nbExoticsOptions, _nbRainbowOptions, _nbVanSwaps, _nbVarSwaps, _optionStrategy, _rainbowOptions, _vanSwaps, _varSwaps, Integer, Real, and OptionStrategy::returnPrice(). |
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Return sensibility to interest rate.
Definition at line 115 of file PortFolio.cpp. References _assets, _bonds, _exoticsOptions, _nbAssets, _nbBonds, _nbExoticsOptions, _nbRainbowOptions, _nbVanSwaps, _nbVarSwaps, _optionStrategy, _rainbowOptions, _vanSwaps, _varSwaps, OptionStrategy::getGlobalRho(), Integer, and Real. |
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Return sensibility to time.
Definition at line 154 of file PortFolio.cpp. References _exoticsOptions, _nbExoticsOptions, _nbRainbowOptions, _nbVanSwaps, _nbVarSwaps, _optionStrategy, _rainbowOptions, _vanSwaps, _varSwaps, OptionStrategy::getGlobalTheta(), Integer, and Real. |
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Return sensibility to volatility.
Definition at line 139 of file PortFolio.cpp. References _exoticsOptions, _nbExoticsOptions, _nbRainbowOptions, _nbVarSwaps, _optionStrategy, _rainbowOptions, _varSwaps, OptionStrategy::getGlobalVega(), Integer, and Real. |
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Definition at line 88 of file PortFolio.h. Referenced by addAsset(), getPrice(), Portfolio(), and returnSensibilityToRate(). |
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Definition at line 87 of file PortFolio.h. Referenced by addBond(), getPrice(), Portfolio(), and returnSensibilityToRate(). |
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Definition at line 80 of file PortFolio.h. |
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Definition at line 84 of file PortFolio.h. Referenced by addExoticOption(), getPrice(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol(). |
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Definition at line 79 of file PortFolio.h. |
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Definition at line 102 of file PortFolio.h. Referenced by addAsset(), getPrice(), Portfolio(), and returnSensibilityToRate(). |
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Definition at line 101 of file PortFolio.h. Referenced by addBond(), getPrice(), Portfolio(), and returnSensibilityToRate(). |
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Definition at line 98 of file PortFolio.h. Referenced by addExoticOption(), getPrice(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol(). |
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Definition at line 97 of file PortFolio.h. Referenced by addRainbowOption(), getPrice(), Portfolio(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol(). |
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Definition at line 99 of file PortFolio.h. Referenced by addVanillaSwap(), getPrice(), Portfolio(), returnSensibilityToRate(), and returnSensibilityToTime(). |
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Definition at line 100 of file PortFolio.h. Referenced by addVarianceSwap(), getPrice(), Portfolio(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol(). |
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Definition at line 82 of file PortFolio.h. Referenced by addOptionStrategy(), getPrice(), Portfolio(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol(). |
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Definition at line 95 of file PortFolio.h. Referenced by addAsset(). |
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Definition at line 94 of file PortFolio.h. Referenced by addBond(). |
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Definition at line 91 of file PortFolio.h. Referenced by addExoticOption(). |
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Definition at line 90 of file PortFolio.h. Referenced by addRainbowOption(). |
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Definition at line 92 of file PortFolio.h. Referenced by addVanillaSwap(). |
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Definition at line 93 of file PortFolio.h. Referenced by addVarianceSwap(). |
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Definition at line 83 of file PortFolio.h. Referenced by addRainbowOption(), getPrice(), Portfolio(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol(). |
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Definition at line 85 of file PortFolio.h. Referenced by addVanillaSwap(), getPrice(), Portfolio(), returnSensibilityToRate(), and returnSensibilityToTime(). |
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Definition at line 86 of file PortFolio.h. Referenced by addVarianceSwap(), getPrice(), Portfolio(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol(). |