#include <orea/scenario/scenariogeneratortransform.hpp>

Inheritance diagram for ScenarioGeneratorTransform:

Collaboration diagram for ScenarioGeneratorTransform:

Public Member Functions
	ScenarioGeneratorTransform (QuantLib::ext::shared_ptr< ScenarioGenerator > &scenarioGenerator, const QuantLib::ext::shared_ptr< ScenarioSimMarket > &simMarket, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketConfig)

QuantLib::ext::shared_ptr< Scenario >	next (const QuantLib::Date &d) override

void	reset () override
	Reset the generator so calls to next() return the first scenario. More...

Public Member Functions inherited from ScenarioGenerator
virtual	~ScenarioGenerator ()
	Default destructor. More...

virtual QuantLib::ext::shared_ptr< Scenario >	next (const Date &d)=0
	Return the next scenario for the given date. More...

virtual void	reset ()=0
	Reset the generator so calls to next() return the first scenario. More...

Private Attributes
QuantLib::ext::shared_ptr< ScenarioGenerator >	scenarioGenerator_

QuantLib::ext::shared_ptr< ScenarioSimMarket >	simMarket_

QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	simMarketConfig_

Detailed Description

Definition at line 41 of file scenariogeneratortransform.hpp.

Constructor & Destructor Documentation

◆ ScenarioGeneratorTransform()

ScenarioGeneratorTransform	(	QuantLib::ext::shared_ptr< ScenarioGenerator > &	scenarioGenerator,
		const QuantLib::ext::shared_ptr< ScenarioSimMarket > &	simMarket,
		const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &	simMarketConfig
	)

Definition at line 43 of file scenariogeneratortransform.hpp.

46 : scenarioGenerator_(scenarioGenerator), simMarket_(simMarket), simMarketConfig_(simMarketConfig){}

ore::analytics::ScenarioGeneratorTransform::simMarketConfig_

QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > simMarketConfig_

Definition: scenariogeneratortransform.hpp:55

ore::analytics::ScenarioGeneratorTransform::simMarket_

QuantLib::ext::shared_ptr< ScenarioSimMarket > simMarket_

Definition: scenariogeneratortransform.hpp:54

ore::analytics::ScenarioGeneratorTransform::scenarioGenerator_

QuantLib::ext::shared_ptr< ScenarioGenerator > scenarioGenerator_

Definition: scenariogeneratortransform.hpp:53

Member Function Documentation

◆ next()

QuantLib::ext::shared_ptr< Scenario > next ( const QuantLib::Date & d )

override

Definition at line 26 of file scenariogeneratortransform.cpp.

                                                                              {
    QuantLib::ext::shared_ptr<Scenario> scenario = scenarioGenerator_->next(d)->clone();
    const vector<RiskFactorKey>& keys = simMarket_->baseScenario()->keys();
    Date asof = simMarket_->baseScenario()->asof();
    vector<Period> tenors;
    Date endDate;
    DayCounter dc;
 
    for (Size k = 0; k < keys.size(); ++k) {
        if ((keys[k].keytype == RiskFactorKey::KeyType::DiscountCurve) ||
            (keys[k].keytype == RiskFactorKey::KeyType::IndexCurve) ||
            (keys[k].keytype == RiskFactorKey::KeyType::YieldCurve)) {
            Real df = scenario->get(keys[k]);
            Real compound = 1 / df;
            if ((keys[k].keytype == RiskFactorKey::KeyType::DiscountCurve)) {
                dc = simMarket_->discountCurve(keys[k].name)->dayCounter();
                tenors = simMarketConfig_->yieldCurveTenors(keys[k].name);
            } else if (keys[k].keytype == RiskFactorKey::KeyType::IndexCurve ||
                       keys[k].keytype == RiskFactorKey::KeyType::YieldCurve) {
                dc = simMarket_->iborIndex(keys[k].name)->dayCounter();
                tenors = simMarketConfig_->yieldCurveTenors(keys[k].name);
            }
            endDate = asof + tenors[keys[k].index];
            Real zero = InterestRate::impliedRate(compound, dc, QuantLib::Compounding::Continuous,
                                                  QuantLib::Frequency::Annual, asof, endDate)
                            .rate();
            scenario->add(keys[k], zero);
        }
    }
    return scenario;
}