Question

class PayOffBridge
{
public:

    PayOffBridge();
    PayOffBridge(const PayOffBridge& original);
    PayOffBridge(const PayOff& innerPayOff);

    inline double operator()(double Spot) const;
    ~PayOffBridge();
    PayOffBridge& operator=(const PayOffBridge& original);

private:

    PayOff* ThePayOffPtr;

};

and another class with a member which is an object of class PayOffBridge:

class VanillaOption
{
public:

    VanillaOption(const PayOffBridge& ThePayOff_, double Expiry);

    double OptionPayOff(double Spot) const;
    double GetExpiry() const;

private:

    double Expiry;
    PayOffBridge ThePayOff;
};

The PayOff* ThePayOffPtr in PayOffBridge is a pointer to the following pure virtual abstract class:

class PayOff
{
public:

    PayOff(){};

    virtual double operator()(double Spot) const=0;
    virtual ~PayOff(){}
    virtual PayOff* clone() const=0;

private:

};

The concrete class PayOffCall is derived from PayOff. In main() I have

PayOffCall thePayOff(Strike);//double Strike
VanillaOption theOption(thePayOff, Expiry);//double Expiry

When I step through the code using F11 in Visual Studio, the line VanillaOption theOption(thePayOff, Expiry); ends up calling PayOffBridge(const PayOff& innerPayOff);. I cannot figure out from where this gets called. How does the constructor for VanillaOption end up calling this?

My 2nd question is the constructor for VanillaOption which gets called from main() is

VanillaOption::VanillaOption(const PayOffBridge& ThePayOff_, double Expiry_): ThePayOff(ThePayOff_), Expiry(Expiry_)
{
}

What exactly does ThePayOff(ThePayOff_) do? That is, which constructor of PayOffBridge gets called, if at all, and what exactly does this syntax accomplish?

Answer 1

1st answer

VanillaOption expects PayOffBridge object as a constructor parameter. But, you pass PayOffCall object instead. Compiler looks for a way to construct temporary PayOffBridge object from given PayOffCall object.

It has PayOffBridge(const PayOff& innerPayOff); constructor. So, it needs a reference to PayOff object for construction. But, PayOffCall is derived from PayOff, so const PayOffCall& is implicitly converted into const PayOff& and you get PayOffBridge constructed.

2nd answer

ThePayOff(ThePayOff_) means object construction. For a start you should recognize types of these variables.

const PayOffBridge& ThePayOff_ – input parameter

PayOffBridge ThePayOff – member of VanilaOption

So, PayOffBridge object is constructed from another PayOffBridge object. Obviously, copy constructor is called

PayOffBridge(const PayOffBridge& original);