Factory class for cloning scenario objects. More...

#include <orea/scenario/deltascenariofactory.hpp>

Inheritance diagram for DeltaScenarioFactory:

Collaboration diagram for DeltaScenarioFactory:

Public Member Functions
	DeltaScenarioFactory (const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &baseScenario, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioFactory > &scenarioFactory=QuantLib::ext::make_shared< ore::analytics::SimpleScenarioFactory >(false))
	Constructor. More...

const QuantLib::ext::shared_ptr< ore::analytics::Scenario >	buildScenario (QuantLib::Date asof, bool isAbsolute, const std::string &label="", QuantLib::Real numeraire=0.0) const override
	returns a new scenario, using the base scenario as a starting point More...

Public Member Functions inherited from ScenarioFactory
virtual	~ScenarioFactory ()
	Default destructor. More...

virtual const QuantLib::ext::shared_ptr< Scenario >	buildScenario (Date asof, bool isAbsolute, const std::string &label="", Real numeraire=0.0) const =0
	Build a scenario instance without filling it. More...

Private Attributes
QuantLib::ext::shared_ptr< ore::analytics::Scenario >	baseScenario_

QuantLib::ext::shared_ptr< ore::analytics::ScenarioFactory >	scenarioFactory_

Detailed Description

Factory class for cloning scenario objects.

Definition at line 37 of file deltascenariofactory.hpp.

Constructor & Destructor Documentation

◆ DeltaScenarioFactory()

DeltaScenarioFactory	(	const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &	baseScenario,
		const QuantLib::ext::shared_ptr< ore::analytics::ScenarioFactory > &	scenarioFactory = `QuantLib::ext::make_shared<ore::analytics::SimpleScenarioFactory>(false)`
	)

Constructor.

Definition at line 30 of file deltascenariofactory.cpp.

    : baseScenario_(baseScenario), scenarioFactory_(scenarioFactory) {
    QL_REQUIRE(baseScenario_ != nullptr, "DeltaScenarioFactory: base scenario pointer must not be NULL");
    QL_REQUIRE(scenarioFactory_ != nullptr, "DeltaScenarioFactory: scenario factory must not be NULL");
}

Member Function Documentation

◆ buildScenario()

const QuantLib::ext::shared_ptr< ore::analytics::Scenario > buildScenario	(	QuantLib::Date	asof,
		bool	isAbsolute,
		const std::string &	label = `""`,
		QuantLib::Real	numeraire = `0.0`
	)		const

override

returns a new scenario, using the base scenario as a starting point

Definition at line 38 of file deltascenariofactory.cpp.

                                                                  {
    QL_REQUIRE(asof == baseScenario_->asof(),
               "unexpected asof date (" << asof << "), does not match base - " << baseScenario_->asof());
    QuantLib::ext::shared_ptr<ore::analytics::Scenario> incremental =
        scenarioFactory_->buildScenario(asof, isAbsolute, label, numeraire);
    QL_REQUIRE((label == incremental->label()) || (label == ""), "DeltaScenarioFactory has not updated scenario label");
    return QuantLib::ext::make_shared<DeltaScenario>(baseScenario_, incremental);
}

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Member Data Documentation

◆ baseScenario_

QuantLib::ext::shared_ptr<ore::analytics::Scenario> baseScenario_

private

Definition at line 49 of file deltascenariofactory.hpp.

◆ scenarioFactory_

QuantLib::ext::shared_ptr<ore::analytics::ScenarioFactory> scenarioFactory_