ScenarioWriter Class Reference

Class for writing scenarios to file. More...

#include <orea/scenario/scenariowriter.hpp>

Inheritance diagram for ScenarioWriter:

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Public Member Functions
	ScenarioWriter (const QuantLib::ext::shared_ptr< ScenarioGenerator > &src, const std::string &filename, const char sep=',', const string &filemode="w+", const std::vector< RiskFactorKey > &headerKeys={})
	Constructor. More...
	ScenarioWriter (const std::string &filename, const char sep=',', const string &filemode="w+", const std::vector< RiskFactorKey > &headerKeys={})
	Constructor to write single scenarios. More...
	ScenarioWriter (const QuantLib::ext::shared_ptr< ScenarioGenerator > &src, QuantLib::ext::shared_ptr< ore::data::Report > report, const std::vector< RiskFactorKey > &headerKeys={})
	Constructor to write into an in-memory report for later io. More...
virtual	~ScenarioWriter ()
	Destructor. More...
virtual QuantLib::ext::shared_ptr< Scenario >	next (const Date &d) override
	Return the next scenario for the given date. More...
void	writeScenario (const QuantLib::ext::shared_ptr< Scenario > &s, const bool writeHeader)
	Write a single scenario. More...
virtual void	reset () override
	Reset the generator so calls to next() return the first scenario. More...
void	close ()
	Close the file if it is open, not normally needed by client code. 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 Member Functions
void	open (const std::string &filename, const std::string &filemode="w+")

Private Attributes
QuantLib::ext::shared_ptr< ScenarioGenerator >	src_
std::vector< RiskFactorKey >	keys_
QuantLib::ext::shared_ptr< ore::data::Report >	report_
FILE *	fp_
Date	firstDate_
Size	i_
const char	sep_ = ','
std::vector< RiskFactorKey >	headerKeys_

Detailed Description

Class for writing scenarios to file.

Definition at line 34 of file scenariowriter.hpp.

Constructor & Destructor Documentation

ScenarioWriter() [1/3]

ScenarioWriter	(	const QuantLib::ext::shared_ptr< ScenarioGenerator > &	src,
		const std::string &	filename,
		const char	sep = ',',
		const string &	filemode = "w+",
		const std::vector< RiskFactorKey > &	headerKeys = {}
	)

Constructor.

Definition at line 27 of file scenariowriter.cpp.

    : src_(src), fp_(nullptr), i_(0), sep_(sep), headerKeys_(headerKeys) {
    open(filename, filemode);
}

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ScenarioWriter() [2/3]

ScenarioWriter	(	const std::string &	filename,
		const char	sep = ',',
		const string &	filemode = "w+",
		const std::vector< RiskFactorKey > &	headerKeys = {}
	)

Constructor to write single scenarios.

Definition at line 33 of file scenariowriter.cpp.

    : fp_(nullptr), i_(0), sep_(sep), headerKeys_(headerKeys) {
    open(filename, filemode);
}

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ScenarioWriter() [3/3]

ScenarioWriter	(	const QuantLib::ext::shared_ptr< ScenarioGenerator > &	src,
		QuantLib::ext::shared_ptr< ore::data::Report >	report,
		const std::vector< RiskFactorKey > &	headerKeys = {}
	)

Constructor to write into an in-memory report for later io.

Definition at line 39 of file scenariowriter.cpp.

    : src_(src), report_(report), fp_(nullptr), i_(0), sep_(','), headerKeys_(headerKeys) {}

~ScenarioWriter()

~ScenarioWriter ( )

virtual

Destructor.

Definition at line 49 of file scenariowriter.cpp.

{ close(); }

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Member Function Documentation

next()

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

overridevirtual

Return the next scenario for the given date.

Implements ScenarioGenerator.

Definition at line 66 of file scenariowriter.cpp.

                                                                  {
    QL_REQUIRE(src_, "No ScenarioGenerator found.");
    QuantLib::ext::shared_ptr<Scenario> s = src_->next(d);
    writeScenario(s, i_ == 0);
    return s;
}

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writeScenario()

void writeScenario	(	const QuantLib::ext::shared_ptr< Scenario > &	s,
		const bool	writeHeader
	)

Write a single scenario.

Definition at line 73 of file scenariowriter.cpp.

                                                                                                   {
    const Date d = s->asof();
    // take a copy of the keys here to ensure the order is preserved
    keys_ = s->keys();
    std::sort(keys_.begin(), keys_.end());
    if (fp_) {
        if (writeHeader) {
            QL_REQUIRE(keys_.size() > 0, "No keys in scenario");
            fprintf(fp_, "Date%cScenario%cNumeraire%c%s", sep_, sep_, sep_, to_string(keys_[0]).c_str());
            for (Size i = 1; i < keys_.size(); i++)
                fprintf(fp_, "%c%s", sep_, to_string(keys_[i]).c_str());
            fprintf(fp_, "\n");
 
            // set the first date, this will bump i_ to 1 below
            firstDate_ = d;
        }
        if (d == firstDate_)
            i_++;
 
        fprintf(fp_, "%s%c%zu%c%.8f", to_string(d).c_str(), sep_, i_, sep_, s->getNumeraire());
        for (auto k : keys_)
            fprintf(fp_, "%c%.8f", sep_, s->get(k));
        fprintf(fp_, "\n");
        fflush(fp_);
    }
 
    if (report_) {
        if (writeHeader) {
            QL_REQUIRE(keys_.size() > 0, "No keys in scenario");
            if (headerKeys_.empty())
                headerKeys_ = keys_;
            report_->addColumn("Date", string());
            report_->addColumn("Scenario", Size());
            report_->addColumn("Numeraire", double(), 8);
            for (Size i = 0; i < headerKeys_.size(); i++)
                report_->addColumn(to_string(headerKeys_[i]), double(), 8);
            // set the first date, this will bump i_ to 1 below
            firstDate_ = d;
        }
        if (d == firstDate_)
            i_++;
        report_->next();
        report_->add(to_string(d));
        report_->add(i_);
        report_->add(s->getNumeraire());
        for (auto k : headerKeys_) {
            if (s->has(k))
                report_->add(s->get(k));
            else
                report_->add(QuantLib::Null<QuantLib::Real>());
        }
    }
}

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reset()

void reset ( )

overridevirtual

Reset the generator so calls to next() return the first scenario.

Implements ScenarioGenerator.

Definition at line 51 of file scenariowriter.cpp.

                           {
    if (src_)
        src_->reset();
    close();
}

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close()

void close

(

)

Close the file if it is open, not normally needed by client code.

Definition at line 57 of file scenariowriter.cpp.

                           {
    if (fp_) {
        fclose(fp_);
        fp_ = nullptr;
    }
    if (report_)
        report_->end();
}

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open()

void open ( const std::string &  filename, const std::string &  filemode = "w+"  )

private

Definition at line 44 of file scenariowriter.cpp.

                                                                              {
    fp_ = fopen(filename.c_str(), filemode.c_str());
    QL_REQUIRE(fp_, "Error opening file " << filename << " for scenarios");
}

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Member Data Documentation

src_

QuantLib::ext::shared_ptr<ScenarioGenerator> src_

private

Definition at line 66 of file scenariowriter.hpp.

keys_

std::vector<RiskFactorKey> keys_

private

Definition at line 67 of file scenariowriter.hpp.

report_

QuantLib::ext::shared_ptr<ore::data::Report> report_

private

Definition at line 68 of file scenariowriter.hpp.

fp_

FILE* fp_

private

Definition at line 69 of file scenariowriter.hpp.

firstDate_

Date firstDate_

private

Definition at line 70 of file scenariowriter.hpp.

i_

Size i_

private

Definition at line 71 of file scenariowriter.hpp.

sep_

const char sep_ = ','

private

Definition at line 72 of file scenariowriter.hpp.

headerKeys_

std::vector<RiskFactorKey> headerKeys_

private

Definition at line 73 of file scenariowriter.hpp.