composite.CompositeInstrument Class Reference

Inheritance diagram for composite.CompositeInstrument:

Public Member Functions
def	__init__ (self, *instruments, generic_security_constructor)
def	create_instrument (self)
def	initialize_instrument (self)

Public Attributes
	type
	instruments
	generic_security_constructor

Static Public Attributes
string	SYMBOL_TEMPLATE = "COMPOSITE::{symbol}"
string	INSTRUMENT_SYMBOL_TEMPLATE = "INSTRUMENT::COMPOSITE::{symbol}"

Constructor & Destructor Documentation

__init__()

def composite.CompositeInstrument.__init__	(		self,
		*	instruments,
			generic_security_constructor
	)

Generic Composite Instrument - an instrument that's composed of multiple assets, example:
    Currency Forward instruments - composed of spot currency and forward rates

A composite instrument will need to implement the create_instrument and initialize_instrument functions
and have a generic security constructor for calculating its returns on top of the tradable assets.

Member Function Documentation

create_instrument()

def composite.CompositeInstrument.create_instrument

(

self

)

Creates composite instrument.

Reimplemented in forward.CurrencyForward.

initialize_instrument()

def composite.CompositeInstrument.initialize_instrument

(

self

)

Initializer composite instrument.

Reimplemented in forward.CurrencyForward.

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

• composite.py