Portfolio Class Reference

#include <PortFolio.h>

List of all members.

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

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Detailed Description

Author:

Simon

Definition at line 24 of file PortFolio.h.

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Constructor & Destructor Documentation

Portfolio::Portfolio (  char *  name, Currency  currency )

Default Constructor : just initialization of size. Parameters: name:  Name of the portfolio currency:  Currency of the portfolio 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.

Portfolio::~Portfolio (  void   )

Definition at line 21 of file PortFolio.cpp.

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Member Function Documentation

void Portfolio::addAsset (  asset *  oneAsset, Real  quantity )

Add one asset to the Portfolio. Definition at line 85 of file PortFolio.cpp. References _assets, _nbAssets, _quantityAssets, and Real.

void Portfolio::addBond (  bond *  oneBond, Real  quantity )

Add one bond to the Portfolio. Definition at line 79 of file PortFolio.cpp. References _bonds, _nbBonds, _quantityBonds, and Real.

void Portfolio::addExoticOption (  Exotics *  exoticOption, Real  quantity )

Add one exotic option to the Portfolio. Definition at line 61 of file PortFolio.cpp. References _exoticsOptions, _nbExoticsOptions, _quantityExoticsOptions, and Real.

void Portfolio::addOptionStrategy (  OptionStrategy *  optionStrategy  )

Add one option to the Portfolio. Definition at line 51 of file PortFolio.cpp. References _optionStrategy.

void Portfolio::addRainbowOption (  RainbowOption *  rainbowOption, Real  quantity )

Add one rainbow option to the Portfolio. Definition at line 55 of file PortFolio.cpp. References _nbRainbowOptions, _quantityRainbowOptions, _rainbowOptions, and Real.

void Portfolio::addVanillaSwap (  VanillaSwap *  vanillaSwap, Real  quantity )

Add one vanilla swap to the Portfolio. Definition at line 67 of file PortFolio.cpp. References _nbVanSwaps, _quantityVanSwaps, _vanSwaps, and Real.

void Portfolio::addVarianceSwap (  VarianceSwap *  varSwap, Real  quantity )

Add one variance swap to the Portfolio. Definition at line 73 of file PortFolio.cpp. References _nbVarSwaps, _quantityVarSwaps, _varSwaps, and Real.

Currency Portfolio::getCurrency (   )

Return currency of the portfolio. Definition at line 29 of file PortFolio.cpp. References Currency.

char * Portfolio::getCurrencyAsString (   )

Return currency of the portfolio as a string. Definition at line 33 of file PortFolio.cpp. References CAD, EUR, MAX_SIZE_NAME, and USD.

char * Portfolio::getName (   )

Return name of the portfolio. Definition at line 25 of file PortFolio.cpp.

Real Portfolio::getPrice (   )

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().

Real Portfolio::returnSensibilityToRate (   )

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.

Real Portfolio::returnSensibilityToTime (   )

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.

Real Portfolio::returnSensibilityToVol (   )

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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Member Data Documentation

valarray<asset*> Portfolio::_assets [private]

Definition at line 88 of file PortFolio.h. Referenced by addAsset(), getPrice(), Portfolio(), and returnSensibilityToRate().

valarray<bond*> Portfolio::_bonds [private]

Definition at line 87 of file PortFolio.h. Referenced by addBond(), getPrice(), Portfolio(), and returnSensibilityToRate().

Currency Portfolio::_currency [private]

Definition at line 80 of file PortFolio.h.

valarray<Exotics*> Portfolio::_exoticsOptions [private]

Definition at line 84 of file PortFolio.h. Referenced by addExoticOption(), getPrice(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol().

char* Portfolio::_name [private]

Definition at line 79 of file PortFolio.h.

Natural Portfolio::_nbAssets [private]

Definition at line 102 of file PortFolio.h. Referenced by addAsset(), getPrice(), Portfolio(), and returnSensibilityToRate().

Natural Portfolio::_nbBonds [private]

Definition at line 101 of file PortFolio.h. Referenced by addBond(), getPrice(), Portfolio(), and returnSensibilityToRate().

Natural Portfolio::_nbExoticsOptions [private]

Definition at line 98 of file PortFolio.h. Referenced by addExoticOption(), getPrice(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol().

Natural Portfolio::_nbRainbowOptions [private]

Definition at line 97 of file PortFolio.h. Referenced by addRainbowOption(), getPrice(), Portfolio(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol().

Natural Portfolio::_nbVanSwaps [private]

Definition at line 99 of file PortFolio.h. Referenced by addVanillaSwap(), getPrice(), Portfolio(), returnSensibilityToRate(), and returnSensibilityToTime().

Natural Portfolio::_nbVarSwaps [private]

Definition at line 100 of file PortFolio.h. Referenced by addVarianceSwap(), getPrice(), Portfolio(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol().

OptionStrategy Portfolio::_optionStrategy [private]

Definition at line 82 of file PortFolio.h. Referenced by addOptionStrategy(), getPrice(), Portfolio(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol().

valarray<Real> Portfolio::_quantityAssets [private]

Definition at line 95 of file PortFolio.h. Referenced by addAsset().

valarray<Real> Portfolio::_quantityBonds [private]

Definition at line 94 of file PortFolio.h. Referenced by addBond().

valarray<Real> Portfolio::_quantityExoticsOptions [private]

Definition at line 91 of file PortFolio.h. Referenced by addExoticOption().

valarray<Real> Portfolio::_quantityRainbowOptions [private]

Definition at line 90 of file PortFolio.h. Referenced by addRainbowOption().

valarray<Real> Portfolio::_quantityVanSwaps [private]

Definition at line 92 of file PortFolio.h. Referenced by addVanillaSwap().

valarray<Real> Portfolio::_quantityVarSwaps [private]

Definition at line 93 of file PortFolio.h. Referenced by addVarianceSwap().

valarray<RainbowOption*> Portfolio::_rainbowOptions [private]

Definition at line 83 of file PortFolio.h. Referenced by addRainbowOption(), getPrice(), Portfolio(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol().

valarray<VanillaSwap*> Portfolio::_vanSwaps [private]

Definition at line 85 of file PortFolio.h. Referenced by addVanillaSwap(), getPrice(), Portfolio(), returnSensibilityToRate(), and returnSensibilityToTime().

valarray<VarianceSwap*> Portfolio::_varSwaps [private]

Definition at line 86 of file PortFolio.h. Referenced by addVarianceSwap(), getPrice(), Portfolio(), returnSensibilityToRate(), returnSensibilityToTime(), and returnSensibilityToVol().

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The documentation for this class was generated from the following files:

• PortFolio.h
• PortFolio.cpp

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