Scenario Class Reference

Scenario Base Class. More...

#include <orea/scenario/scenario.hpp>

Inheritance diagram for Scenario:

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Public Member Functions
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...

Private Member Functions
template<class Archive >
void	serialize (Archive &, const unsigned int)

Friends
class	boost::serialization::access

Detailed Description

Scenario Base Class.

A scenario contains a single cross asset model sample in terms of yield curves by currency, FX rates, etc.

This base class provides the interface to add and retrieve data to and from a scenario. Concrete simple and memory optimized "compact" scenario classes are derived from this.

Definition at line 138 of file scenario.hpp.

Constructor & Destructor Documentation

~Scenario()

virtual ~Scenario ( )

virtual

Destructor.

Definition at line 141 of file scenario.hpp.

{}

Member Function Documentation

asof()

virtual const Date & asof ( ) const

pure virtual

Return the scenario asof date.

Implemented in DeltaScenario, and SimpleScenario.

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setAsof()

virtual void setAsof ( const Date &  d )

pure virtual

Set the asof date.

Implemented in DeltaScenario, and SimpleScenario.

label() [1/2]

virtual const string & label ( ) const

pure virtual

Get the scenario label.

Implemented in DeltaScenario, and SimpleScenario.

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label() [2/2]

virtual void label ( const string &  )

pure virtual

Set the scenario label.

Implemented in DeltaScenario, and SimpleScenario.

getNumeraire()

virtual Real getNumeraire ( ) const

pure virtual

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

Implemented in DeltaScenario, and SimpleScenario.

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setNumeraire()

virtual void setNumeraire ( Real  n )

pure virtual

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

Implemented in DeltaScenario, and SimpleScenario.

has()

virtual bool has ( const RiskFactorKey &  key ) const

pure virtual

Check whether this scenario provides the data for the given key.

Implemented in DeltaScenario, and SimpleScenario.

keys()

virtual const std::vector< RiskFactorKey > & keys ( ) const

pure virtual

Risk factor keys for which this scenario provides data.

Implemented in DeltaScenario, and SimpleScenario.

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add()

virtual void add ( const RiskFactorKey &  key, Real  value  )

pure virtual

Add an element to the scenario.

Implemented in DeltaScenario, and SimpleScenario.

get()

virtual Real get ( const RiskFactorKey &  key ) const

pure virtual

Get an element from the scenario.

Implemented in DeltaScenario, and SimpleScenario.

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isAbsolute()

virtual bool isAbsolute ( ) const

pure virtual

Is this an absolute or difference scenario?

Implemented in DeltaScenario, and SimpleScenario.

setAbsolute()

virtual void setAbsolute ( const bool  b )

pure virtual

Set if this is an absolute scenario.

Implemented in DeltaScenario, and SimpleScenario.

coordinates()

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

pure virtual

Get coordinates.

Implemented in DeltaScenario, and SimpleScenario.

clone()

virtual QuantLib::ext::shared_ptr< Scenario > clone ( ) const

pure virtual

clones a scenario and returns a pointer to the new object

Implemented in DeltaScenario, and SimpleScenario.

isCloseEnough()

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

virtual

checks for equality up to numerical differences

Reimplemented in DeltaScenario.

Definition at line 38 of file scenario.cpp.

                                                                           {
    return asof() == s->asof() && label() == s->label() && QuantLib::close_enough(getNumeraire(), s->getNumeraire()) &&
           keys() == s->keys() && std::all_of(keys().begin(), keys().end(), [this, s](const RiskFactorKey& k) {
               return QuantLib::close_enough(this->get(k), s->get(k));
           });
}

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keysHash()

virtual std::size_t keysHash ( ) const

virtual

return fingerprint identifying the set of rf keys of the scenarios, or 0 if not provided by the implementation

Reimplemented in SimpleScenario.

Definition at line 182 of file scenario.hpp.

{ return 0; }

serialize()

void serialize ( Archive &  , const unsigned int    )

private

Definition at line 186 of file scenario.hpp.

{}

Friends And Related Function Documentation

boost::serialization::access

friend class boost::serialization::access

friend

Definition at line 185 of file scenario.hpp.