ScenarioGeneratorData Class Reference

Scenario Generator description. More...

#include <orea/scenario/scenariogeneratordata.hpp>

Inheritance diagram for ScenarioGeneratorData:

Collaboration diagram for ScenarioGeneratorData:

Public Member Functions
	ScenarioGeneratorData ()
	ScenarioGeneratorData (QuantLib::ext::shared_ptr< DateGrid > dateGrid, SequenceType sequenceType, long seed, Size samples, SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, bool withCloseOutLag=false, bool withMporStickyDate=false)
	Constructor. More...
void	clear ()
virtual void	fromXML (XMLNode *node) override
	Load members from XML. More...
virtual XMLNode *	toXML (XMLDocument &doc) const override
	Write members to XML. More...
Inspectors
QuantLib::ext::shared_ptr< DateGrid >	getGrid () const
SequenceType	sequenceType () const
long	seed () const
Size	samples () const
SobolBrownianGenerator::Ordering	ordering () const
SobolRsg::DirectionIntegers	directionIntegers () const
QuantLib::ext::shared_ptr< DateGrid >	closeOutDateGrid () const
bool	withCloseOutLag () const
bool	withMporStickyDate () const
Period	closeOutLag () const
Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()
virtual void	fromXML (XMLNode *node)=0
virtual XMLNode *	toXML (XMLDocument &doc) const=0
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
std::string	toXMLString () const

Setters
QuantLib::ext::shared_ptr< DateGrid >	grid_
SequenceType	sequenceType_
long	seed_
Size	samples_
SobolBrownianGenerator::Ordering	ordering_
SobolRsg::DirectionIntegers	directionIntegers_
QuantLib::ext::shared_ptr< DateGrid >	closeOutDateGrid_
bool	withCloseOutLag_
bool	withMporStickyDate_
Period	closeOutLag_
MporCashFlowMode	mporCashFlowMode_
string	gridString_
void	setGrid (QuantLib::ext::shared_ptr< DateGrid > grid)
SequenceType &	sequenceType ()
long &	seed ()
Size &	samples ()
SobolBrownianGenerator::Ordering &	ordering ()
SobolRsg::DirectionIntegers &	directionIntegers ()
bool &	withCloseOutLag ()
bool &	withMporStickyDate ()
Period &	closeOutLag ()

Detailed Description

Scenario Generator description.

ScenarioGeneratorData wraps the specification of how to build a scenario generator from a given cross asset model and covers the choice and configuration of

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

Definition at line 52 of file scenariogeneratordata.hpp.

Constructor & Destructor Documentation

ScenarioGeneratorData() [1/2]

ScenarioGeneratorData

(

)

Definition at line 54 of file scenariogeneratordata.hpp.

        : grid_(QuantLib::ext::make_shared<DateGrid>()), sequenceType_(SobolBrownianBridge), seed_(0), samples_(0),
          ordering_(SobolBrownianGenerator::Steps), directionIntegers_(SobolRsg::JoeKuoD7), withCloseOutLag_(false),
          withMporStickyDate_(false) {}

ScenarioGeneratorData() [2/2]

ScenarioGeneratorData	(	QuantLib::ext::shared_ptr< DateGrid >	dateGrid,
		SequenceType	sequenceType,
		long	seed,
		Size	samples,
		SobolBrownianGenerator::Ordering	ordering = SobolBrownianGenerator::Steps,
		SobolRsg::DirectionIntegers	directionIntegers = SobolRsg::JoeKuoD7,
		bool	withCloseOutLag = false,
		bool	withMporStickyDate = false
	)

Constructor.

Definition at line 60 of file scenariogeneratordata.hpp.

        : sequenceType_(sequenceType), seed_(seed), samples_(samples), ordering_(ordering),
          directionIntegers_(directionIntegers), withCloseOutLag_(false), withMporStickyDate_(false) {
        setGrid(dateGrid);
    }

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Member Function Documentation

clear()

void clear

(

)

Definition at line 39 of file scenariogeneratordata.cpp.

                                  {
    if (grid_)
        grid_->truncate(0);
}

fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Load members from XML.

Implements XMLSerializable.

Definition at line 60 of file scenariogeneratordata.cpp.

                                                 {
    XMLNode* sim = XMLUtils::locateNode(root, "Simulation");
    XMLNode* node = XMLUtils::getChildNode(sim, "Parameters");
    XMLUtils::checkNode(node, "Parameters");
 
    std::string calString = XMLUtils::getChildValue(node, "Calendar", true);
    Calendar cal = parseCalendar(calString);
 
    std::string dcString = XMLUtils::getChildValue(node, "DayCounter", false);
    DayCounter dc = dcString.empty() ? ActualActual(ActualActual::ISDA) : parseDayCounter(dcString);
 
    gridString_ = XMLUtils::getChildValue(node, "Grid", true);
    std::vector<std::string> tokens;
    boost::split(tokens, gridString_, boost::is_any_of(","));
    if (tokens.size() <= 2) {
        grid_ = QuantLib::ext::make_shared<DateGrid>(gridString_, cal, dc);
    } else {
        std::vector<Period> gridTenors = XMLUtils::getChildrenValuesAsPeriods(node, "Grid", true);
        grid_ = QuantLib::ext::make_shared<DateGrid>(gridTenors, cal, dc);
    }
    LOG("ScenarioGeneratorData grid points size = " << grid_->size());
 
    std::string sequenceTypeString = XMLUtils::getChildValue(node, "Sequence", true);
    sequenceType_ = parseSequenceType(sequenceTypeString);
    LOG("ScenarioGeneratorData sequence type = " << sequenceTypeString);
 
    seed_ = XMLUtils::getChildValueAsInt(node, "Seed", true);
    LOG("ScenarioGeneratorData seed = " << seed_);
 
    samples_ = XMLUtils::getChildValueAsInt(node, "Samples", true);
    LOG("ScenarioGeneratorData samples = " << samples_);
 
    // overwrite samples with environment variable OVERWRITE_SCENARIOGENERATOR_SAMPLES
    if (auto c = getenv("OVERWRITE_SCENARIOGENERATOR_SAMPLES")) {
        try {
            samples_ = std::stol(c);
        } catch (const std::exception& e) {
            WLOG("enviroment variable OVERWRITE_SCENARIOGENERATOR_SAMPLES is set ("
                 << c << ") but can not be parsed to a number - ignoring.");
        }
        LOG("Overwrite samples with " << samples_ << " from environment variable OVERWRITE_SCENARIOGENERATOR_SAMPLES")
    }
 
    if (auto n = XMLUtils::getChildNode(node, "Ordering"))
        ordering_ = parseSobolBrownianGeneratorOrdering(XMLUtils::getNodeValue(n));
    else
        ordering_ = SobolBrownianGenerator::Steps;
 
    if (auto n = XMLUtils::getChildNode(node, "DirectionIntegers"))
        directionIntegers_ = parseSobolRsgDirectionIntegers(XMLUtils::getNodeValue(n));
    else
        directionIntegers_ = SobolRsg::JoeKuoD7;
 
    withCloseOutLag_ = false;
    if (XMLUtils::getChildNode(node, "CloseOutLag") != NULL) {
        withCloseOutLag_ = true;
        closeOutLag_ = parsePeriod(XMLUtils::getChildValue(node, "CloseOutLag", true));
        grid_->addCloseOutDates(closeOutLag_);
        LOG("Use lagged close out grid, lag period is " << closeOutLag_);
    }
    withMporStickyDate_ = false;
    if (XMLUtils::getChildNode(node, "MporMode") != NULL) {
        string mporMode = XMLUtils::getChildValue(node, "MporMode", true);
        if (mporMode == "StickyDate") {
            withMporStickyDate_ = true;
            LOG("Use Mpor sticky date mode");
        } else if (mporMode == "ActualDate") {
            withMporStickyDate_ = false;
            LOG("Use Mpor actual date mode");
        } else {
            QL_FAIL("MporMode " << mporMode << " not recognised");
        }
    }
 
    LOG("ScenarioGeneratorData done.");
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Write members to XML.

Implements XMLSerializable.

Definition at line 137 of file scenariogeneratordata.cpp.

                                                            {
    XMLNode* node = doc.allocNode("Simulation");
    XMLNode* pNode = XMLUtils::addChild(doc, node, "Parameters");
 
    if (grid_) {
        XMLUtils::addChild(doc, pNode, "Calendar", grid_->calendar().name());
        XMLUtils::addChild(doc, pNode, "DayCounter", grid_->dayCounter().name());
        if (!gridString_.empty()) {
            XMLUtils::addChild(doc, pNode, "Grid", gridString_);
        } else {
            XMLUtils::addGenericChildAsList(doc, pNode, "Grid", grid_->tenors());
        }
    }
 
    XMLUtils::addChild(doc, pNode, "Sequence", ore::data::to_string( sequenceType_));
    XMLUtils::addChild(doc, pNode, "Seed", to_string(seed_));
    XMLUtils::addChild(doc, pNode, "Samples", to_string(samples_));
 
    XMLUtils::addChild(doc, pNode, "Ordering", ore::data::to_string((SobolBrownianGenerator::Ordering) ordering_) );
    XMLUtils::addChild(doc, pNode, "DirectionIntegers", ore::data::to_string(directionIntegers_));
 
    if (withCloseOutLag_) {
        XMLUtils::addChild(doc, pNode, "CloseOutLag", closeOutLag_);
    }
    if (withMporStickyDate_) {
        XMLUtils::addChild(doc, pNode, "MporMode", "StickyDate");
    } else {
        XMLUtils::addChild(doc, pNode, "MporMode", "ActualDate");
    }
 
    return node;
}

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getGrid()

QuantLib::ext::shared_ptr< DateGrid > getGrid

(

)

const

Definition at line 79 of file scenariogeneratordata.hpp.

{ return grid_; }

sequenceType() [1/2]

SequenceType sequenceType

(

)

const

Definition at line 80 of file scenariogeneratordata.hpp.

{ return sequenceType_; }

seed() [1/2]

long seed

(

)

const

Definition at line 81 of file scenariogeneratordata.hpp.

{ return seed_; }

samples() [1/2]

Size samples

(

)

const

Definition at line 82 of file scenariogeneratordata.hpp.

{ return samples_; }

ordering() [1/2]

SobolBrownianGenerator::Ordering ordering

(

)

const

Definition at line 83 of file scenariogeneratordata.hpp.

{ return ordering_; }

directionIntegers() [1/2]

SobolRsg::DirectionIntegers directionIntegers

(

)

const

Definition at line 84 of file scenariogeneratordata.hpp.

{ return directionIntegers_; }

closeOutDateGrid()

QuantLib::ext::shared_ptr< DateGrid > closeOutDateGrid

(

)

const

Definition at line 85 of file scenariogeneratordata.hpp.

{ return closeOutDateGrid_; }

withCloseOutLag() [1/2]

bool withCloseOutLag

(

)

const

Definition at line 86 of file scenariogeneratordata.hpp.

{ return withCloseOutLag_; }

withMporStickyDate() [1/2]

bool withMporStickyDate

(

)

const

Definition at line 87 of file scenariogeneratordata.hpp.

{ return withMporStickyDate_; }

closeOutLag() [1/2]

Period closeOutLag

(

)

const

Definition at line 88 of file scenariogeneratordata.hpp.

{ return closeOutLag_; }

setGrid()

void setGrid

(

QuantLib::ext::shared_ptr< DateGrid >

grid

)

Definition at line 44 of file scenariogeneratordata.cpp.

                                                                        { 
    grid_ = grid;
    
    std::ostringstream oss;
    if (grid->tenors().size() == 0) {
        oss << "";
    } else {
        oss << grid->tenors()[0];
        for (Size i = 1; i < grid->tenors().size(); i++) {
            oss << ", " << grid->tenors()[i];
        }
    }
 
    gridString_ = oss.str();
}

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sequenceType() [2/2]

SequenceType & sequenceType

(

)

Definition at line 94 of file scenariogeneratordata.hpp.

{ return sequenceType_; }

seed() [2/2]

long & seed

(

)

Definition at line 95 of file scenariogeneratordata.hpp.

{ return seed_; }

samples() [2/2]

Size & samples

(

)

Definition at line 96 of file scenariogeneratordata.hpp.

{ return samples_; }

ordering() [2/2]

SobolBrownianGenerator::Ordering & ordering

(

)

Definition at line 97 of file scenariogeneratordata.hpp.

{ return ordering_; }

directionIntegers() [2/2]

SobolRsg::DirectionIntegers & directionIntegers

(

)

Definition at line 98 of file scenariogeneratordata.hpp.

{ return directionIntegers_; }

withCloseOutLag() [2/2]

bool & withCloseOutLag

(

)

Definition at line 99 of file scenariogeneratordata.hpp.

{ return withCloseOutLag_; }

withMporStickyDate() [2/2]

bool & withMporStickyDate

(

)

Definition at line 100 of file scenariogeneratordata.hpp.

{ return withMporStickyDate_; }

closeOutLag() [2/2]

Period & closeOutLag

(

)

Definition at line 101 of file scenariogeneratordata.hpp.

{ return closeOutLag_; }

Member Data Documentation

grid_

QuantLib::ext::shared_ptr<DateGrid> grid_

private

Definition at line 104 of file scenariogeneratordata.hpp.

sequenceType_

SequenceType sequenceType_

private

Definition at line 105 of file scenariogeneratordata.hpp.

seed_

long seed_

private

Definition at line 106 of file scenariogeneratordata.hpp.

samples_

Size samples_

private

Definition at line 107 of file scenariogeneratordata.hpp.

ordering_

SobolBrownianGenerator::Ordering ordering_

private

Definition at line 108 of file scenariogeneratordata.hpp.

directionIntegers_

SobolRsg::DirectionIntegers directionIntegers_

private

Definition at line 109 of file scenariogeneratordata.hpp.

closeOutDateGrid_

QuantLib::ext::shared_ptr<DateGrid> closeOutDateGrid_

private

Definition at line 110 of file scenariogeneratordata.hpp.

withCloseOutLag_

bool withCloseOutLag_

private

Definition at line 111 of file scenariogeneratordata.hpp.

withMporStickyDate_

bool withMporStickyDate_

private

Definition at line 112 of file scenariogeneratordata.hpp.

closeOutLag_

Period closeOutLag_

private

Definition at line 113 of file scenariogeneratordata.hpp.

mporCashFlowMode_

MporCashFlowMode mporCashFlowMode_

private

Definition at line 114 of file scenariogeneratordata.hpp.

gridString_

string gridString_

private

Definition at line 115 of file scenariogeneratordata.hpp.