ScenarioGeneratorBuilder Class Reference

Build a ScenarioGenerator. More...

#include <orea/scenario/scenariogeneratorbuilder.hpp>

Collaboration diagram for ScenarioGeneratorBuilder:

Public Member Functions
	ScenarioGeneratorBuilder ()
	Default constructor. More...
	ScenarioGeneratorBuilder (QuantLib::ext::shared_ptr< ScenarioGeneratorData > data)
	Constructor. More...
QuantLib::ext::shared_ptr< ScenarioGenerator >	build (QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > model, QuantLib::ext::shared_ptr< ScenarioFactory > sf, QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > marketConfig, Date asof, QuantLib::ext::shared_ptr< ore::data::Market > initMarket, const std::string &configuration=ore::data::Market::defaultConfiguration, const QuantLib::ext::shared_ptr< PathGeneratorFactory > &pf=QuantLib::ext::make_shared< MultiPathGeneratorFactory >())
	Build function. More...

Private Attributes
QuantLib::ext::shared_ptr< ScenarioGeneratorData >	data_
boost::optional< std::set< std::string > >	currencies_

Detailed Description

Build a ScenarioGenerator.

ScenarioGeneratorBuilder builds a scenario generator based on the settings provided via the ScenarioGeneratorData object

• state process
• simulation date grid
• multipath generator
• scenario factory
• fixing method

Definition at line 54 of file scenariogeneratorbuilder.hpp.

Constructor & Destructor Documentation

ScenarioGeneratorBuilder() [1/2]

ScenarioGeneratorBuilder

(

)

Default constructor.

Definition at line 57 of file scenariogeneratorbuilder.hpp.

{}

ScenarioGeneratorBuilder() [2/2]

ScenarioGeneratorBuilder

(

QuantLib::ext::shared_ptr< ScenarioGeneratorData >

data

)

Constructor.

Definition at line 60 of file scenariogeneratorbuilder.hpp.

: data_(data) {}

Member Function Documentation

build()

QuantLib::ext::shared_ptr< ScenarioGenerator > build	(	QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel >	model,
		QuantLib::ext::shared_ptr< ScenarioFactory >	sf,
		QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	marketConfig,
		Date	asof,
		QuantLib::ext::shared_ptr< ore::data::Market >	initMarket,
		const std::string &	configuration = ore::data::Market::defaultConfiguration,
		const QuantLib::ext::shared_ptr< PathGeneratorFactory > &	pf = QuantLib::ext::make_shared<MultiPathGeneratorFactory>()
	)

Build function.

Definition at line 42 of file scenariogeneratorbuilder.cpp.

                                                                                       {
 
    LOG("ScenarioGeneratorBuilder::build() called");
 
    QL_REQUIRE(initMarket != NULL, "ScenarioGeneratorBuilder: initMarket is null");
 
    // enable cache
    auto process = model->stateProcess();
    if (auto tmp = QuantLib::ext::dynamic_pointer_cast<CrossAssetStateProcess>(process)) {
        tmp->resetCache(data_->getGrid()->timeGrid().size() - 1);
    }
 
    auto pathGen = pf->build(data_->sequenceType(), process, data_->getGrid()->timeGrid(), data_->seed(),
                             data_->ordering(), data_->directionIntegers());
 
    return QuantLib::ext::make_shared<CrossAssetModelScenarioGenerator>(model, pathGen, scenarioFactory, marketConfig, asof,
                                                                data_->getGrid(), initMarket, configuration);
}

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Member Data Documentation

data_

QuantLib::ext::shared_ptr<ScenarioGeneratorData> data_

private

Definition at line 71 of file scenariogeneratorbuilder.hpp.

currencies_

boost::optional<std::set<std::string> > currencies_

private

Definition at line 72 of file scenariogeneratorbuilder.hpp.