SimMarket Class Reference

Simulation Market. More...

#include <orea/simulation/simmarket.hpp>

Inheritance diagram for SimMarket:

Collaboration diagram for SimMarket:

Public Member Functions
	SimMarket (const bool handlePseudoCurrencies)
virtual void	update (const Date &d)
	Generate or retrieve market scenario, update market, notify termstructures and update fixings. More...
virtual void	preUpdate ()=0
	Observable settings depending on selected mode, before we update the market. More...
virtual void	updateDate (const Date &)=0
	Update to the given date. More...
virtual void	updateScenario (const Date &)=0
	Retrieve next market scenario and apply this, but don't update date. More...
virtual void	postUpdate (const Date &d, bool withFixings)=0
	Observable reset depending on selected mode, instrument updates. More...
virtual void	updateAsd (const Date &)=0
	Update aggregation scenario data. More...
Real	numeraire ()
	Return current numeraire value. More...
const std::string &	label ()
	Return current scenario label, if any. More...
virtual void	reset ()=0
	Reset sim market to initial state. More...
virtual const QuantLib::ext::shared_ptr< FixingManager > &	fixingManager () const =0
	Get the fixing manager. More...
Public Member Functions inherited from MarketImpl
	MarketImpl (const bool handlePseudoCurrencies)
Date	asofDate () const override
Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &ccy, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	discountCurveImpl (const string &ccy, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	yieldCurve (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< IborIndex >	iborIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< SwapIndex >	swapIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
string	shortSwapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
string	swapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	fxRateImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	fxSpotImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	fxVolImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	recoveryRate (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditVolCurve >	cdsVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
std::pair< string, QuantLib::Period >	capFloorVolIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< YoYInflationIndex >	yoyInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::EquityIndex2 >	equityCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	equityDividendCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::InflationIndexObserver >	baseCpis (const string &index, const string &configuration=Market::defaultConfiguration) const
QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const string &index1, const string &index2, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< Quote >	cpr (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
	MarketImpl (const MarketImpl &)=delete
MarketImpl &	operator= (const MarketImpl &)=delete
void	refresh (const string &configuration=Market::defaultConfiguration) override
Date	asofDate () const override
Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &ccy, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	discountCurveImpl (const string &ccy, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	yieldCurve (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< IborIndex >	iborIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< SwapIndex >	swapIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
string	shortSwapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
string	swapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	fxRateImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	fxSpotImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	fxVolImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	recoveryRate (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditVolCurve >	cdsVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
std::pair< string, QuantLib::Period >	capFloorVolIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< YoYInflationIndex >	yoyInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::EquityIndex2 >	equityCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	equityDividendCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::InflationIndexObserver >	baseCpis (const string &index, const string &configuration=Market::defaultConfiguration) const
QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const string &index1, const string &index2, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< Quote >	cpr (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
Public Member Functions inherited from Market
	Market (const bool handlePseudoCurrencies)
virtual	~Market ()
virtual Date	asofDate () const=0
virtual Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &name, const string &configuration=Market::defaultConfiguration) const=0
Handle< YieldTermStructure >	discountCurve (const string &ccy, const string &configuration=Market::defaultConfiguration) const
virtual Handle< YieldTermStructure >	discountCurveImpl (const string &ccy, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< YieldTermStructure >	yieldCurve (const string &name, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< IborIndex >	iborIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< SwapIndex >	swapIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const=0
virtual string	shortSwapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const=0
virtual string	swapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const=0
QuantLib::Handle< QuantExt::FxIndex >	fxIndex (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const
virtual QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const=0
Handle< Quote >	fxRate (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
virtual Handle< Quote >	fxRateImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const=0
Handle< Quote >	fxSpot (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
virtual Handle< Quote >	fxSpotImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const=0
Handle< BlackVolTermStructure >	fxVol (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
virtual Handle< BlackVolTermStructure >	fxVolImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< Quote >	recoveryRate (const string &, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< QuantExt::CreditVolCurve >	cdsVol (const string &, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const=0
virtual std::pair< std::string, QuantLib::Period >	capFloorVolIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &indexName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< YoYInflationIndex >	yoyInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< YieldTermStructure >	equityDividendCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< QuantExt::EquityIndex2 >	equityCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const=0
virtual QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const=0
virtual QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const=0
virtual QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const=0
virtual QuantLib::Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const std::string &index1, const std::string &index2, const std::string &configuration=Market::defaultConfiguration) const=0
virtual Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const=0
virtual void	refresh (const string &)
virtual Handle< Quote >	cpr (const string &securityID, const string &configuration=Market::defaultConfiguration) const=0
string	commodityCurveLookup (const string &pm) const
bool	handlePseudoCurrencies () const
virtual Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &name, const string &configuration=Market::defaultConfiguration) const=0
Handle< YieldTermStructure >	discountCurve (const string &ccy, const string &configuration=Market::defaultConfiguration) const
virtual Handle< YieldTermStructure >	discountCurveImpl (const string &ccy, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< YieldTermStructure >	yieldCurve (const string &name, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< IborIndex >	iborIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< SwapIndex >	swapIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const=0
virtual string	shortSwapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const=0
virtual string	swapIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const=0
QuantLib::Handle< QuantExt::FxIndex >	fxIndex (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const
virtual QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const=0
Handle< Quote >	fxRate (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
virtual Handle< Quote >	fxRateImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const=0
Handle< Quote >	fxSpot (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
virtual Handle< Quote >	fxSpotImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const=0
Handle< BlackVolTermStructure >	fxVol (const string &ccypair, const string &configuration=Market::defaultConfiguration) const
virtual Handle< BlackVolTermStructure >	fxVolImpl (const string &ccypair, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< Quote >	recoveryRate (const string &, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< QuantExt::CreditVolCurve >	cdsVol (const string &, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const=0
virtual std::pair< std::string, QuantLib::Period >	capFloorVolIndexBase (const string &key, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &indexName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< YoYInflationIndex >	yoyInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< YieldTermStructure >	equityDividendCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< QuantExt::EquityIndex2 >	equityCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const=0
virtual Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const=0
virtual QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const=0
virtual QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const=0
virtual QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const=0
virtual QuantLib::Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const std::string &index1, const std::string &index2, const std::string &configuration=Market::defaultConfiguration) const=0

Protected Attributes
Real	numeraire_
std::string	label_
Protected Attributes inherited from MarketImpl
Date	asof_
QuantLib::ext::shared_ptr< FXTriangulation >	fx_
map< tuple< string, YieldCurveType, string >, Handle< YieldTermStructure > >	yieldCurves_
map< pair< string, string >, Handle< IborIndex > >	iborIndices_
map< pair< string, string >, Handle< SwapIndex > >	swapIndices_
map< pair< string, string >, Handle< QuantLib::SwaptionVolatilityStructure > >	swaptionCurves_
map< pair< string, string >, pair< string, string > >	swaptionIndexBases_
map< pair< string, string >, Handle< QuantLib::SwaptionVolatilityStructure > >	yieldVolCurves_
map< pair< string, string >, Handle< BlackVolTermStructure > >	fxVols_
map< pair< string, string >, Handle< QuantExt::CreditCurve > >	defaultCurves_
map< pair< string, string >, Handle< QuantExt::CreditVolCurve > >	cdsVols_
map< pair< string, string >, Handle< QuantExt::BaseCorrelationTermStructure > >	baseCorrelations_
map< pair< string, string >, Handle< Quote > >	recoveryRates_
map< pair< string, string >, Handle< OptionletVolatilityStructure > >	capFloorCurves_
map< pair< string, string >, std::pair< string, QuantLib::Period > >	capFloorIndexBase_
map< pair< string, string >, Handle< YoYOptionletVolatilitySurface > >	yoyCapFloorVolSurfaces_
map< pair< string, string >, Handle< ZeroInflationIndex > >	zeroInflationIndices_
map< pair< string, string >, Handle< YoYInflationIndex > >	yoyInflationIndices_
map< pair< string, string >, Handle< CPIVolatilitySurface > >	cpiInflationCapFloorVolatilitySurfaces_
map< pair< string, string >, Handle< Quote > >	equitySpots_
map< pair< string, string >, Handle< BlackVolTermStructure > >	equityVols_
map< pair< string, string >, Handle< Quote > >	securitySpreads_
map< pair< string, string >, Handle< QuantExt::InflationIndexObserver > >	baseCpis_
map< tuple< string, string, string >, Handle< QuantExt::CorrelationTermStructure > >	correlationCurves_
map< pair< string, string >, QuantLib::Handle< QuantExt::CommodityIndex > >	commodityIndices_
map< pair< string, string >, QuantLib::Handle< QuantLib::BlackVolTermStructure > >	commodityVols_
map< pair< string, string >, QuantLib::Handle< QuantExt::EquityIndex2 > >	equityCurves_
map< pair< string, string >, Handle< Quote > >	cprs_
map< string, std::set< QuantLib::ext::shared_ptr< TermStructure > > >	refreshTs_
Protected Attributes inherited from Market
bool	handlePseudoCurrencies_

Additional Inherited Members
Static Public Attributes inherited from Market
static const string	defaultConfiguration
static const string	inCcyConfiguration
Protected Member Functions inherited from MarketImpl
virtual void	require (const MarketObject o, const string &name, const string &configuration, const bool forceBuild=false) const
void	addSwapIndex (const string &swapindex, const string &discountIndex, const string &configuration=Market::defaultConfiguration) const

Detailed Description

Simulation Market.

A Simulation Market is a MarketImpl which is used for pricing under scenarios. It has an update method which is used to generate or retrieve a new market scenario, to apply the scenario to its term structures and to notify all termstructures and instruments of this change so that the instruments are recalculated with the NPV call.

Definition at line 44 of file simmarket.hpp.

Constructor & Destructor Documentation

SimMarket()

SimMarket ( const bool  handlePseudoCurrencies )

explicit

Definition at line 46 of file simmarket.hpp.

: MarketImpl(handlePseudoCurrencies), numeraire_(1.0) {}

Member Function Documentation

update()

virtual void update ( const Date &  d )

virtual

Generate or retrieve market scenario, update market, notify termstructures and update fixings.

Definition at line 49 of file simmarket.hpp.

                                       {
        preUpdate();
        updateDate(d);
        updateScenario(d);
        postUpdate(d, true);
        updateAsd(d);
    }

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preUpdate()

virtual void preUpdate ( )

pure virtual

Observable settings depending on selected mode, before we update the market.

Implemented in ScenarioSimMarket.

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updateDate()

virtual void updateDate ( const Date &  )

pure virtual

Update to the given date.

Implemented in ScenarioSimMarket.

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updateScenario()

virtual void updateScenario ( const Date &  )

pure virtual

Retrieve next market scenario and apply this, but don't update date.

Implemented in ScenarioSimMarket.

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postUpdate()

virtual void postUpdate ( const Date &  d, bool  withFixings  )

pure virtual

Observable reset depending on selected mode, instrument updates.

Implemented in ScenarioSimMarket.

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updateAsd()

virtual void updateAsd ( const Date &  )

pure virtual

Update aggregation scenario data.

Implemented in ScenarioSimMarket.

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numeraire()

Real numeraire

(

)

Return current numeraire value.

Definition at line 73 of file simmarket.hpp.

{ return numeraire_; }

label()

const std::string & label

(

)

Return current scenario label, if any.

Definition at line 76 of file simmarket.hpp.

{ return label_; }

reset()

virtual void reset ( )

pure virtual

Reset sim market to initial state.

Implemented in ScenarioSimMarket.

fixingManager()

virtual const QuantLib::ext::shared_ptr< FixingManager > & fixingManager ( ) const

pure virtual

Get the fixing manager.

Implemented in ScenarioSimMarket.

Member Data Documentation

numeraire_

Real numeraire_

protected

Definition at line 85 of file simmarket.hpp.

label_

std::string label_

protected

Definition at line 86 of file simmarket.hpp.