ScenarioPathGenerator Class Reference

Scenario generator that generates an entire path. More...

#include <orea/scenario/scenariogenerator.hpp>

Inheritance diagram for ScenarioPathGenerator:

Collaboration diagram for ScenarioPathGenerator:

Public Member Functions
	ScenarioPathGenerator (Date today, const vector< Date > &dates, TimeGrid timeGrid)
	Constructor. More...
virtual QuantLib::ext::shared_ptr< Scenario >	next (const Date &d) override
	Return the next scenario for the given date. 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...

Protected Member Functions
virtual std::vector< QuantLib::ext::shared_ptr< Scenario > >	nextPath ()=0

Protected Attributes
Date	today_
vector< Date >	dates_
Size	pathStep_
TimeGrid	timeGrid_
std::vector< QuantLib::ext::shared_ptr< Scenario > >	path_

Detailed Description

Scenario generator that generates an entire path.

Definition at line 58 of file scenariogenerator.hpp.

Constructor & Destructor Documentation

ScenarioPathGenerator()

ScenarioPathGenerator	(	Date	today,
		const vector< Date > &	dates,
		TimeGrid	timeGrid
	)

Constructor.

Parameters

today	Today's date
dates	Future evaluation dates
timeGrid	Associated time grid

Definition at line 62 of file scenariogenerator.hpp.

        : today_(today), dates_(dates), timeGrid_(timeGrid) { // dayCounter_(dayCounter) {
        QL_REQUIRE(dates.size() > 0, "empty date vector passed");
        QL_REQUIRE(dates.front() > today, "date grid must start in the future");
    }

Member Function Documentation

next()

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

overridevirtual

Return the next scenario for the given date.

Implements ScenarioGenerator.

Definition at line 73 of file scenariogenerator.hpp.

                                                                         {
        if (d == dates_.front()) { // new path
            path_ = nextPath();
            pathStep_ = 0;
        }
        QL_REQUIRE(pathStep_ < dates_.size(), "step mismatch");
        if(d == dates_[pathStep_]){
            return path_[pathStep_++]; // post increment
        } else{
            auto it = std::find(dates_.begin(), dates_.end(), d);
            QL_REQUIRE(it != dates_.end(), "invalid date " << d);
            return path_[std::distance(dates_.begin(), it)];
        }
    }

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nextPath()

virtual std::vector< QuantLib::ext::shared_ptr< Scenario > > nextPath ( )

protectedpure virtual

Implemented in CrossAssetModelScenarioGenerator, and LgmScenarioGenerator.

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Member Data Documentation

today_

Date today_

protected

Definition at line 91 of file scenariogenerator.hpp.

dates_

vector<Date> dates_

protected

Definition at line 92 of file scenariogenerator.hpp.

pathStep_

Size pathStep_

protected

Definition at line 93 of file scenariogenerator.hpp.

timeGrid_

TimeGrid timeGrid_

protected

Definition at line 95 of file scenariogenerator.hpp.

path_

std::vector<QuantLib::ext::shared_ptr<Scenario> > path_

protected

Definition at line 96 of file scenariogenerator.hpp.