Class for reading historical scenarios from a csv file. More...

#include <orea/scenario/historicalscenariofilereader.hpp>

Inheritance diagram for HistoricalScenarioFileReader:

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Public Member Functions
	HistoricalScenarioFileReader (const std::string &fileName, const QuantLib::ext::shared_ptr< ScenarioFactory > &scenarioFactory)

	~HistoricalScenarioFileReader () override
	Destructor. More...

bool	next () override
	Return true if there is another Scenario to read and move to it. More...

QuantLib::Date	date () const override
	Return the current scenario's date if reader is still valid and `Null<Date>()` otherwise. More...

QuantLib::ext::shared_ptr< Scenario >	scenario () const override
	Return the current scenario if reader is still valid and `nullptr` otherwise. More...

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

virtual bool	next ()=0
	Return true if there is another Scenario to read and move to it. More...

virtual QuantLib::Date	date () const =0
	Return the current scenario's date if reader is still valid and `Null<Date>()` otherwise. More...

virtual QuantLib::ext::shared_ptr< ore::analytics::Scenario >	scenario () const =0
	Return the current scenario if reader is still valid and `nullptr` otherwise. More...

virtual void	load (const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simParams, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &marketParams)

Private Attributes
QuantLib::ext::shared_ptr< ScenarioFactory >	scenarioFactory_
	Scenario factory. More...

ore::data::CSVFileReader	file_
	Handle on the csv file. More...

std::vector< RiskFactorKey >	keys_
	The risk factor keys of the scenarios in the file. More...

bool	finished_
	Flag indicating if the reader has no more scenarios to read. More...

Detailed Description

Class for reading historical scenarios from a csv file.

Definition at line 37 of file historicalscenariofilereader.hpp.

Constructor & Destructor Documentation

◆ HistoricalScenarioFileReader()

HistoricalScenarioFileReader	(	const std::string &	fileName,
		const QuantLib::ext::shared_ptr< ScenarioFactory > &	scenarioFactory
	)

Constructor where filename gives the path to the file from which to read the scenarios and scenarioFactory is a factory for building Scenarios

Definition at line 34 of file historicalscenariofilereader.cpp.

    : scenarioFactory_(scenarioFactory), file_(fileName, true), finished_(false) {
 
    // Do some checks
    QL_REQUIRE(file_.fields().size() >= 4, "Need at least 4 columns in the file " << fileName);
    QL_REQUIRE(file_.fields()[0] == "Date", "First column must be 'Date' in the file " << fileName);
    QL_REQUIRE(file_.fields()[1] == "Scenario", "Second column should be 'Scenario' in the file " << fileName);
    QL_REQUIRE(file_.fields()[2] == "Numeraire", "Third column should be 'Numeraire' in the file " << fileName);
 
    // Populate the risk factor keys vector
    keys_.reserve(file_.fields().size() - 3);
    for (Size k = 3; k < file_.fields().size(); ++k) {
        keys_.push_back(parseRiskFactorKey(file_.fields()[k]));
    }
}

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◆ ~HistoricalScenarioFileReader()

~HistoricalScenarioFileReader ( )

override

Destructor.

Definition at line 51 of file historicalscenariofilereader.cpp.

                                                            {
    // Close the file
    file_.close();
    LOG("The file has been closed");
}

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Member Function Documentation

◆ next()

bool next ( )

overridevirtual

Return true if there is another Scenario to read and move to it.

Implements HistoricalScenarioReader.

Definition at line 57 of file historicalscenariofilereader.cpp.

                                        {
    finished_ = file_.next() ? false : true;
    return !finished_;
}

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◆ date()

Date date ( ) const

overridevirtual

Return the current scenario's date if reader is still valid and Null<Date>() otherwise.

Implements HistoricalScenarioReader.

Definition at line 62 of file historicalscenariofilereader.cpp.

                                              {
    if (finished_) {
        return Null<Date>();
    } else {
        return parseDate(file_.get("Date"));
    }
}

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◆ scenario()

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

overridevirtual

Return the current scenario if reader is still valid and nullptr otherwise.

Implements HistoricalScenarioReader.

Definition at line 70 of file historicalscenariofilereader.cpp.

                                                                                         {
    if (finished_) {
        return nullptr;
    } else {
        Date date = parseDate(file_.get("Date"));
        Real numeraire = parseReal(file_.get("Numeraire"));
        TLOG("Creating scenario for date " << io::iso_date(date));
        QuantLib::ext::shared_ptr<Scenario> scenario =
            scenarioFactory_->buildScenario(date, true, std::string(), numeraire);
        Real value;
        for (Size k = 0; k < keys_.size(); ++k) {
            if (ore::data::tryParseReal(file_.get(k + 3), value))
                scenario->add(keys_[k], value);
        }
        return scenario;
    }
}