ClonedScenarioGenerator Class Reference

#include <orea/scenario/clonedscenariogenerator.hpp>

Inheritance diagram for ClonedScenarioGenerator:

Collaboration diagram for ClonedScenarioGenerator:

Public Member Functions
	ClonedScenarioGenerator (const QuantLib::ext::shared_ptr< ScenarioGenerator > &scenarioGenerator, const std::vector< Date > &dates, const Size nSamples)
QuantLib::ext::shared_ptr< Scenario >	next (const Date &d) override
	Return the next scenario for the given date. More...
virtual void	reset () override
	Reset the generator so calls to next() return the first scenario. More...
Public Member Functions inherited from ScenarioGenerator
virtual	~ScenarioGenerator ()
	Default destructor. More...
virtual QuantLib::ext::shared_ptr< Scenario >	next (const Date &d)=0
	Return the next scenario for the given date. More...
virtual void	reset ()=0
	Reset the generator so calls to next() return the first scenario. More...

Private Attributes
std::map< Date, size_t >	dates_
Date	firstDate_
Size	nSim_ = 0
std::vector< QuantLib::ext::shared_ptr< Scenario > >	scenarios_

Detailed Description

Definition at line 31 of file clonedscenariogenerator.hpp.

Constructor & Destructor Documentation

ClonedScenarioGenerator()

ClonedScenarioGenerator	(	const QuantLib::ext::shared_ptr< ScenarioGenerator > &	scenarioGenerator,
		const std::vector< Date > &	dates,
		const Size	nSamples
	)

Definition at line 26 of file clonedscenariogenerator.cpp.

                                                                                                    {
    DLOG("Build cloned scenario generator for " << dates.size() << " dates and " << nSamples << " samples.");
    for (size_t i = 0; i < dates.size(); ++i) {
        dates_[dates[i]] = i;
    }
    firstDate_ = dates.front();
    scenarioGenerator->reset();
    scenarios_.resize(nSamples * dates_.size());
    for (Size i = 0; i < nSamples; ++i) {
        for (Size j = 0; j < dates.size(); ++j) {
            scenarios_[i * dates.size() + j] = scenarioGenerator->next(dates[j])->clone();
        }
    }
}

Member Function Documentation

next()

QuantLib::ext::shared_ptr< Scenario > next ( const Date &  d )

overridevirtual

Return the next scenario for the given date.

Implements ScenarioGenerator.

Definition at line 42 of file clonedscenariogenerator.cpp.

                                                                           {
    if (d == firstDate_) { // new path
        ++nSim_;
    }
    auto stepIdx = dates_.find(d);
    QL_REQUIRE(stepIdx != dates_.end(), "ClonedScenarioGenerator::next(" << d << "): invalid date " << d);
    size_t timePos = stepIdx->second;
    size_t currentStep = (nSim_ - 1) * dates_.size() + timePos;
    QL_REQUIRE(currentStep < scenarios_.size(),
               "ClonedScenarioGenerator::next(" << d << "): no more scenarios stored.");
    return scenarios_[currentStep];
}

reset()

void reset ( )

overridevirtual

Reset the generator so calls to next() return the first scenario.

This allows re-generation of scenarios if required.

Implements ScenarioGenerator.

Definition at line 55 of file clonedscenariogenerator.cpp.

                                    { 
    nSim_ = 0;
}

Member Data Documentation

dates_

std::map<Date, size_t> dates_

private

Definition at line 39 of file clonedscenariogenerator.hpp.

firstDate_

Date firstDate_

private

Definition at line 40 of file clonedscenariogenerator.hpp.

nSim_

Size nSim_ = 0

private

Definition at line 41 of file clonedscenariogenerator.hpp.

scenarios_

std::vector<QuantLib::ext::shared_ptr<Scenario> > scenarios_

private

Definition at line 42 of file clonedscenariogenerator.hpp.