HistoricalScenarioLoader Class Reference

Class for loading historical scenarios. More...

#include <orea/scenario/historicalscenarioloader.hpp>

Collaboration diagram for HistoricalScenarioLoader:

Public Member Functions
	HistoricalScenarioLoader ()
	Default constructor. More...
	HistoricalScenarioLoader (const QuantLib::ext::shared_ptr< HistoricalScenarioReader > &scenarioReader, const QuantLib::Date &startDate, const QuantLib::Date &endDate, const QuantLib::Calendar &calendar)
	HistoricalScenarioLoader (const boost::shared_ptr< HistoricalScenarioReader > &scenarioReader, const std::set< QuantLib::Date > &dates)
	HistoricalScenarioLoader (const std::vector< QuantLib::ext::shared_ptr< ore::analytics::Scenario > > &scenarios, const std::set< QuantLib::Date > &dates)
QuantLib::ext::shared_ptr< ore::analytics::Scenario >	getHistoricalScenario (const QuantLib::Date &date) const
	Get a Scenario for a given date. More...
QuantLib::Size	numScenarios () const
	Number of scenarios. More...
std::vector< QuantLib::ext::shared_ptr< ore::analytics::Scenario > > &	historicalScenarios ()
	Set historical scenarios. More...
const std::vector< QuantLib::ext::shared_ptr< ore::analytics::Scenario > > &	historicalScenarios () const
	The historical scenarios. More...
std::vector< QuantLib::Date > &	dates ()
	Set historical scenario dates. More...
const std::vector< QuantLib::Date > &	dates () const
	The historical scenario dates. More...

Protected Attributes
std::vector< QuantLib::ext::shared_ptr< ore::analytics::Scenario > >	historicalScenarios_
std::vector< QuantLib::Date >	dates_

Detailed Description

Class for loading historical scenarios.

Definition at line 37 of file historicalscenarioloader.hpp.

Constructor & Destructor Documentation

HistoricalScenarioLoader() [1/4]

HistoricalScenarioLoader

(

)

Default constructor.

Definition at line 40 of file historicalscenarioloader.hpp.

{}

HistoricalScenarioLoader() [2/4]

HistoricalScenarioLoader	(	const QuantLib::ext::shared_ptr< HistoricalScenarioReader > &	scenarioReader,
		const QuantLib::Date &	startDate,
		const QuantLib::Date &	endDate,
		const QuantLib::Calendar &	calendar
	)

Constructor that loads scenarios, read from scenarioReader, between startDate and endDate.

Warning:

The scenarios coming from scenarioReader must be in ascending order. If not, an exception is thrown.

Parameters

scenarioReader	A scenario reader that feeds the loader with scenarios
startDate	The first date to load a a scenario for
endDate	The last date to load a scenario for
calendar	Calendar to use when advancing dates

HistoricalScenarioLoader() [3/4]

HistoricalScenarioLoader	(	const boost::shared_ptr< HistoricalScenarioReader > &	scenarioReader,
		const std::set< QuantLib::Date > &	dates
	)

Constructor that loads scenarios, read from scenarioReader, for given dates

Parameters

scenarioReader	A scenario reader that feeds the loader with scenarios
dates	The first date to load a a scenario for

HistoricalScenarioLoader() [4/4]

HistoricalScenarioLoader	(	const std::vector< QuantLib::ext::shared_ptr< ore::analytics::Scenario > > &	scenarios,
		const std::set< QuantLib::Date > &	dates
	)

Constructor that loads scenarios from a vector

Parameters

scenarios	A vector of scenarios
dates	The first date to load a a scenario for

Definition at line 115 of file historicalscenarioloader.cpp.

                                       {
    for (const auto& s : scenarios) {
        Date scenarioDate = s->asof();
 
        auto it = dates.find(scenarioDate);
        if (it == dates.end())
            continue;
        else {
            historicalScenarios_.push_back(s);
            dates_.push_back(scenarioDate);
        }
        if (dates_.size() == dates.size())
            break;
    }
}

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Member Function Documentation

getHistoricalScenario()

QuantLib::ext::shared_ptr< Scenario > getHistoricalScenario

(

const QuantLib::Date &

date

)

const

Get a Scenario for a given date.

Definition at line 31 of file historicalscenarioloader.cpp.

                                                                                                              {
    QL_REQUIRE(historicalScenarios_.size() > 0, "No Historical Scenarios Loaded");
 
    auto it = std::find(dates_.begin(), dates_.end(), date);
    QL_REQUIRE(it != dates_.end(), "HistoricalScenarioLoader can't find an index for date " << date);
 
    Size index = std::distance(dates_.begin(), it);
    return historicalScenarios_[index];
};

numScenarios()

QuantLib::Size numScenarios

(

)

const

Number of scenarios.

Definition at line 75 of file historicalscenarioloader.hpp.

{ return historicalScenarios_.size(); }

historicalScenarios() [1/2]

std::vector< QuantLib::ext::shared_ptr< ore::analytics::Scenario > > & historicalScenarios

(

)

Set historical scenarios.

Definition at line 77 of file historicalscenarioloader.hpp.

{ return historicalScenarios_; }

historicalScenarios() [2/2]

const std::vector< QuantLib::ext::shared_ptr< ore::analytics::Scenario > > & historicalScenarios

(

)

const

The historical scenarios.

Definition at line 79 of file historicalscenarioloader.hpp.

                                                                                              {
        return historicalScenarios_;
    }

dates() [1/2]

std::vector< QuantLib::Date > & dates

(

)

Set historical scenario dates.

Definition at line 83 of file historicalscenarioloader.hpp.

{ return dates_; }

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dates() [2/2]

const std::vector< QuantLib::Date > & dates

(

)

const

The historical scenario dates.

Definition at line 85 of file historicalscenarioloader.hpp.

{ return dates_; }

Member Data Documentation

historicalScenarios_

std::vector<QuantLib::ext::shared_ptr<ore::analytics::Scenario> > historicalScenarios_

protected

Definition at line 89 of file historicalscenarioloader.hpp.

dates_

std::vector<QuantLib::Date> dates_

protected

Definition at line 90 of file historicalscenarioloader.hpp.