C++ - Run a function before initializing a class member

I have 2 resource managing classes DeviceContext and OpenGLContext both are members of class DisplayOpenGL. The resource lifetimes are tied to DisplayOpenGL. Initialization looks like this (pseudo code):

DeviceContext m_device = DeviceContext(hwnd);
m_device.SetPixelFormat();
OpenGLContext m_opengl = OpenGLContext(m_device);

The problem is the call to SetPixelFormat(), since I can't do that in the initializer list of the DisplayOpenGL c'tor:

class DisplayOpenGL {
public:
    DisplayOpenGL(HWND hwnd)
    : m_device(hwnd),
      // <- Must call m_device.SetPixelFormat here ->
      m_opengl(m_device) { };
private:
    DeviceContext m_device;
    OpenGLContext m_opengl;
};

Solutions that I can see:

• Inserting m_dummy(m_device.SetPixelFormat()) - Won't work as SetPixelFormat() has no retval. (should you do this if it had a retval?)
• Use unique_ptr<OpenGLContext> m_opengl; instead of OpenGLContext m_opengl;.
  Then initialize as m_opengl(), call SetPixelFormat() in the c'tor body and use m_opengl.reset(new OpenGLContext);
• Call SetPixelFormat() from DeviceContext c'tor

Which of these solutions is preferable and why? Anything I am missing?

I'm using Visual Studio 2010 Express on Windows, if it matters.

Edit: I'm mostly interested in the tradeoffs involved in deciding for one of these methods.

• m_dummy() doesn't work and seems inelegant even if it would
• unique_ptr<X> is interesting to me - when would I use it instead of a "normal" X m_x member? The two methods seem to be functionally more or less equivalent, except for the initialization issues.
• Calling SetPixelFormat() from DeviceContext c'tor certainly works but feels unclean to me. DeviceContext should manage the resource and enable its use, not impose some random pixel format policy on users.
• stijn's InitDev() looks like the cleanest solution.

Do I pretty much always want a smart pointer based solution in such cases anyway?

Comma operator to the rescue! An expression (a, b) will evaluate a first, then b.

class DisplayOpenGL {
public:
    DisplayOpenGL(HWND hwnd)
    : m_device(hwnd),
      m_opengl((m_device.SetPixelFormat(), m_device)) { };
private:
    DeviceContext m_device;
    OpenGLContext m_opengl;
};