#include <orea/scenario/deltascenario.hpp>

Inheritance diagram for DeltaScenario:

Collaboration diagram for DeltaScenario:

Public Member Functions
	DeltaScenario ()
	Constructor. More...

	DeltaScenario (const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &baseScenario, const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &incrementalScenario)
	Constructor. More...

const Date &	asof () const override
	Return the scenario asof date. More...

void	setAsof (const Date &d) override
	Set the asof date. More...

const std::string &	label () const override
	Return the scenario label. More...

void	label (const string &s) override
	set the label More...

Real	getNumeraire () const override
	Get Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ]. More...

void	setNumeraire (Real n) override
	Set the Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ]. More...

bool	has (const ore::analytics::RiskFactorKey &key) const override
	Check, get, add a single market point. More...

const std::vector< ore::analytics::RiskFactorKey > &	keys () const override
	Risk factor keys for which this scenario provides data. More...

void	add (const ore::analytics::RiskFactorKey &key, Real value) override
	Add an element to the scenario. More...

Real	get (const ore::analytics::RiskFactorKey &key) const override
	Get an element from the scenario. More...

bool	isAbsolute () const override
	Is this an absolute or difference scenario? More...

void	setAbsolute (const bool b) override
	Set if this is an absolute scenario. More...

const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< Real > > > &	coordinates () const override
	Get coordinates. More...

QuantLib::ext::shared_ptr< Scenario >	base () const
	Get base. More...

QuantLib::ext::shared_ptr< Scenario >	delta () const
	Get delta. More...

QuantLib::ext::shared_ptr< Scenario >	clone () const override
	clones a scenario and returns a pointer to the new object More...

bool	isCloseEnough (const QuantLib::ext::shared_ptr< Scenario > &s) const override
	checks for equality up to numerical differences More...

Public Member Functions inherited from Scenario
virtual	~Scenario ()
	Destructor. More...

virtual const Date &	asof () const =0
	Return the scenario asof date. More...

virtual void	setAsof (const Date &d)=0
	Set the asof date. More...

virtual const string &	label () const =0
	Get the scenario label. More...

virtual void	label (const string &)=0
	Set the scenario label. More...

virtual Real	getNumeraire () const =0
	Get Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ]. More...

virtual void	setNumeraire (Real n)=0
	Set the Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ]. More...

virtual bool	has (const RiskFactorKey &key) const =0
	Check whether this scenario provides the data for the given key. More...

virtual const std::vector< RiskFactorKey > &	keys () const =0
	Risk factor keys for which this scenario provides data. More...

virtual void	add (const RiskFactorKey &key, Real value)=0
	Add an element to the scenario. More...

virtual Real	get (const RiskFactorKey &key) const =0
	Get an element from the scenario. More...

virtual bool	isAbsolute () const =0
	Is this an absolute or difference scenario? More...

virtual void	setAbsolute (const bool b)=0
	Set if this is an absolute scenario. More...

virtual const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< Real > > > &	coordinates () const =0
	Get coordinates. More...

virtual QuantLib::ext::shared_ptr< Scenario >	clone () const =0
	clones a scenario and returns a pointer to the new object More...

virtual bool	isCloseEnough (const QuantLib::ext::shared_ptr< Scenario > &s) const
	checks for equality up to numerical differences More...

virtual std::size_t	keysHash () const
	return fingerprint identifying the set of rf keys of the scenarios, or 0 if not provided by the implementation More...

Protected Attributes
QuantLib::ext::shared_ptr< Scenario >	baseScenario_

QuantLib::ext::shared_ptr< Scenario >	delta_

Detailed Description

Delta Scenario class.

This implementation stores a pointer to a "base scenario", as well as a smaller "delta" scenario, which stores values for any keys where the value is different to base. This is intended as an efficient storage mechanism for e.g. sensitivity scenarios, where many scenario instances are managed in memory but the actual differences are minor.

Definition at line 41 of file deltascenario.hpp.

Constructor & Destructor Documentation

◆ DeltaScenario() [1/2]

DeltaScenario ( )

Constructor.

Definition at line 44 of file deltascenario.hpp.

44{}

◆ DeltaScenario() [2/2]

DeltaScenario	(	const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &	baseScenario,
		const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &	incrementalScenario
	)

Constructor.

Definition at line 28 of file deltascenario.cpp.

    : baseScenario_(baseScenario), delta_(incrementalScenario) {
    QL_REQUIRE(
        baseScenario->isAbsolute() == incrementalScenario->isAbsolute(),
        "DeltaScenario(): base and incremental scenario must be both absolute or both difference, got isAbsolute = "
            << std::boolalpha << baseScenario->isAbsolute() << ", " << incrementalScenario->isAbsolute());
}

Member Function Documentation

◆ asof()

const Date & asof ( ) const

overridevirtual

Return the scenario asof date.

Implements Scenario.

Definition at line 49 of file deltascenario.hpp.

49{ return delta_->asof(); }

◆ setAsof()

void setAsof ( const Date & d )

overridevirtual

Set the asof date.

Implements Scenario.

Definition at line 50 of file deltascenario.hpp.

50{ delta_->setAsof(d); }

◆ label() [1/2]

const std::string & label ( ) const

overridevirtual

Return the scenario label.

Implements Scenario.

Definition at line 53 of file deltascenario.hpp.

53{ return delta_->label(); }

◆ label() [2/2]

void label ( const string & s )

overridevirtual

set the label

Implements Scenario.

Definition at line 55 of file deltascenario.hpp.

55{ delta_->label(s); }

◆ getNumeraire()

Real getNumeraire ( ) const

overridevirtual

Get Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ].

Implements Scenario.

Definition at line 57 of file deltascenario.cpp.

                                       {
    Real deltaNum = delta_->getNumeraire();
    if (deltaNum == 0.0)
        deltaNum = baseScenario_->getNumeraire();
    return deltaNum;
}

◆ setNumeraire()

void setNumeraire ( Real n )

overridevirtual

Set the Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ].

Implements Scenario.

Definition at line 60 of file deltascenario.hpp.

60{ delta_->setNumeraire(n); }

◆ has()

bool has ( const ore::analytics::RiskFactorKey & key ) const

overridevirtual

Check, get, add a single market point.

Implements Scenario.

Definition at line 63 of file deltascenario.hpp.

63{ return baseScenario_->has(key); }

◆ keys()

const std::vector< ore::analytics::RiskFactorKey > & keys ( ) const

overridevirtual

Risk factor keys for which this scenario provides data.

Implements Scenario.

Definition at line 64 of file deltascenario.hpp.

64{ return baseScenario_->keys(); }

◆ add()

void add	(	const ore::analytics::RiskFactorKey &	key,
		Real	value
	)

overridevirtual

Add an element to the scenario.

Implements Scenario.

Definition at line 37 of file deltascenario.cpp.

                                                                        {
    QL_REQUIRE(baseScenario_->has(key), "base scenario must also possess key");
    if (baseScenario_->get(key) != value)
        delta_->add(key, value);
}

◆ get()

Real get ( const ore::analytics::RiskFactorKey & key ) const

overridevirtual

Get an element from the scenario.

Implements Scenario.

Definition at line 43 of file deltascenario.cpp.

                                                                  {
    if (delta_->has(key)) {
        return delta_->get(key);
    } else {
        return baseScenario_->get(key);
    }
}

◆ isAbsolute()

bool isAbsolute ( ) const

overridevirtual

Is this an absolute or difference scenario?

Implements Scenario.

Definition at line 68 of file deltascenario.hpp.

68{ return baseScenario_->isAbsolute(); }

◆ setAbsolute()

void setAbsolute ( const bool b )

overridevirtual

Set if this is an absolute scenario.

Implements Scenario.

Definition at line 69 of file deltascenario.hpp.

69{ baseScenario_->setAbsolute(b); }

◆ coordinates()

const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< Real > > > & coordinates ( ) const

overridevirtual

Get coordinates.

Implements Scenario.

Definition at line 72 of file deltascenario.hpp.

                                 {
        return baseScenario_->coordinates();
    }

◆ base()

QuantLib::ext::shared_ptr< Scenario > base ( ) const

Get base.

Definition at line 77 of file deltascenario.hpp.

77{ return baseScenario_; }

◆ delta()

QuantLib::ext::shared_ptr< Scenario > delta ( ) const

Get delta.

Definition at line 80 of file deltascenario.hpp.

80{ return delta_; }

◆ clone()

QuantLib::ext::shared_ptr< ore::analytics::Scenario > clone ( ) const

overridevirtual

clones a scenario and returns a pointer to the new object

Implements Scenario.

Definition at line 51 of file deltascenario.cpp.

                                                                       {
    // NOTE - we are not cloning the base here (is this appropriate?)
    QuantLib::ext::shared_ptr<Scenario> newDelta = delta_->clone();
    return QuantLib::ext::make_shared<DeltaScenario>(baseScenario_, newDelta);
}

◆ isCloseEnough()

bool isCloseEnough ( const QuantLib::ext::shared_ptr< Scenario > & s ) const

overridevirtual

checks for equality up to numerical differences

Reimplemented from Scenario.

Definition at line 64 of file deltascenario.cpp.

                                                                                {
    if (auto d = QuantLib::ext::dynamic_pointer_cast<DeltaScenario>(s)) {
        return (baseScenario_.get() == d->baseScenario_.get() || baseScenario_->isCloseEnough(s)) &&
               (delta_.get() == d->delta_.get() || delta_->isCloseEnough(s));
    } else {
        return Scenario::isCloseEnough(s);
    }
}

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Member Data Documentation

◆ baseScenario_

QuantLib::ext::shared_ptr<Scenario> baseScenario_

protected

Definition at line 87 of file deltascenario.hpp.

◆ delta_

QuantLib::ext::shared_ptr<Scenario> delta_

protected

Definition at line 88 of file deltascenario.hpp.

Public Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ DeltaScenario() [1/2]

◆ DeltaScenario() [2/2]

Member Function Documentation

◆ asof()

◆ setAsof()

◆ label() [1/2]

◆ label() [2/2]

◆ getNumeraire()

◆ setNumeraire()

◆ has()

◆ keys()

◆ add()

◆ get()

◆ isAbsolute()

◆ setAbsolute()

◆ coordinates()

◆ base()

◆ delta()

◆ clone()

◆ isCloseEnough()

Member Data Documentation

◆ baseScenario_

◆ delta_