#include <orea/scenario/simplescenario.hpp>

Inheritance diagram for SimpleScenario:

Collaboration diagram for SimpleScenario:

Classes
struct	SharedData

Public Member Functions
	SimpleScenario ()

	SimpleScenario (Date asof, const std::string &label=std::string(), Real numeraire=0, const boost::shared_ptr< SharedData > &sharedData=nullptr)
	if sharedData is not provided, the instance will create its own shared data block More...

const Date &	asof () const override
	Return the scenario asof date. More...

void	setAsof (const Date &d) override
	Set the asof date. More...

const std::string &	label () const override
	Get the scenario label. More...

void	label (const string &s) override
	Set the scenario label. More...

Real	getNumeraire () const override
	Get Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ]. More...

void	setNumeraire (Real n) override
	Set the Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ]. More...

bool	isAbsolute () const override
	Is this an absolute or difference scenario? More...

const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< Real > > > &	coordinates () const override
	Get coordinates. More...

std::size_t	keysHash () const override
	return fingerprint identifying the set of rf keys of the scenarios, or 0 if not provided by the implementation More...

bool	has (const RiskFactorKey &key) const override
	Check whether this scenario provides the data for the given key. More...

const std::vector< RiskFactorKey > &	keys () const override
	Risk factor keys for which this scenario provides data. More...

void	add (const RiskFactorKey &key, Real value) override
	Add an element to the scenario. More...

Real	get (const RiskFactorKey &key) const override
	Get an element from the scenario. More...

QuantLib::ext::shared_ptr< Scenario >	clone () const override
	This does not close the shared data. More...

void	setAbsolute (const bool isAbsolute) override
	Set if this is an absolute scenario. More...

void	setCoordinates (const RiskFactorKey::KeyType type, const std::string &name, const std::vector< std::vector< Real > > &coordinates)

const boost::shared_ptr< SharedData > &	sharedData () const
	get shared data block (for construction of sister scenarios) More...

const std::vector< Real > &	data () const
	get data, order is the same as in keys() More...

Public Member Functions inherited from Scenario
virtual	~Scenario ()
	Destructor. More...

virtual const Date &	asof () const =0
	Return the scenario asof date. More...

virtual void	setAsof (const Date &d)=0
	Set the asof date. More...

virtual const string &	label () const =0
	Get the scenario label. More...

virtual void	label (const string &)=0
	Set the scenario label. More...

virtual Real	getNumeraire () const =0
	Get Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ]. More...

virtual void	setNumeraire (Real n)=0
	Set the Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ]. More...

virtual bool	has (const RiskFactorKey &key) const =0
	Check whether this scenario provides the data for the given key. More...

virtual const std::vector< RiskFactorKey > &	keys () const =0
	Risk factor keys for which this scenario provides data. More...

virtual void	add (const RiskFactorKey &key, Real value)=0
	Add an element to the scenario. More...

virtual Real	get (const RiskFactorKey &key) const =0
	Get an element from the scenario. More...

virtual bool	isAbsolute () const =0
	Is this an absolute or difference scenario? More...

virtual void	setAbsolute (const bool b)=0
	Set if this is an absolute scenario. More...

virtual const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< Real > > > &	coordinates () const =0
	Get coordinates. More...

virtual QuantLib::ext::shared_ptr< Scenario >	clone () const =0
	clones a scenario and returns a pointer to the new object More...

virtual bool	isCloseEnough (const QuantLib::ext::shared_ptr< Scenario > &s) const
	checks for equality up to numerical differences More...

virtual std::size_t	keysHash () const
	return fingerprint identifying the set of rf keys of the scenarios, or 0 if not provided by the implementation More...

Private Attributes
QuantLib::ext::shared_ptr< SharedData >	sharedData_

bool	isAbsolute_ = true

Date	asof_

std::string	label_

Real	numeraire_ = 0.0

std::vector< Real >	data_

Detailed Description

Simple Scenario class

Definition at line 34 of file simplescenario.hpp.

Constructor & Destructor Documentation

◆ SimpleScenario() [1/2]

SimpleScenario ( )

Definition at line 43 of file simplescenario.hpp.

43{}

◆ SimpleScenario() [2/2]

SimpleScenario	(	Date	asof,
		const std::string &	label = `std::string()`,
		Real	numeraire = `0`,
		const boost::shared_ptr< SharedData > &	sharedData = `nullptr`
	)

if sharedData is not provided, the instance will create its own shared data block

Definition at line 30 of file simplescenario.cpp.

32 : sharedData_(sharedData == nullptr ? QuantLib::ext::make_shared<SharedData>() : sharedData), asof_(asof),

33 label_(label), numeraire_(numeraire) {}

ore::analytics::SimpleScenario::label_

std::string label_

Definition: simplescenario.hpp:87

ore::analytics::SimpleScenario::sharedData

const boost::shared_ptr< SharedData > & sharedData() const

get shared data block (for construction of sister scenarios)

Definition: simplescenario.hpp:78

ore::analytics::SimpleScenario::label

const std::string & label() const override

Get the scenario label.

Definition: simplescenario.hpp:51

ore::analytics::SimpleScenario::numeraire_

Real numeraire_

Definition: simplescenario.hpp:88

ore::analytics::SimpleScenario::sharedData_

QuantLib::ext::shared_ptr< SharedData > sharedData_

Definition: simplescenario.hpp:84

ore::analytics::SimpleScenario::asof

const Date & asof() const override

Return the scenario asof date.

Definition: simplescenario.hpp:48

ore::analytics::SimpleScenario::asof_

Date asof_

Definition: simplescenario.hpp:86

Member Function Documentation

◆ asof()

const Date & asof ( ) const

overridevirtual

Return the scenario asof date.

Implements Scenario.

Definition at line 48 of file simplescenario.hpp.

48{ return asof_; }

◆ setAsof()

void setAsof ( const Date & d )

overridevirtual

Set the asof date.

Implements Scenario.

Definition at line 49 of file simplescenario.hpp.

49{ asof_ = d; }

◆ label() [1/2]

const std::string & label ( ) const

overridevirtual

Get the scenario label.

Implements Scenario.

Definition at line 51 of file simplescenario.hpp.

51{ return label_; }

◆ label() [2/2]

void label ( const string & )

overridevirtual

Set the scenario label.

Implements Scenario.

Definition at line 52 of file simplescenario.hpp.

52{ label_ = s; }

◆ getNumeraire()

Real getNumeraire ( ) const

overridevirtual

Get Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ].

Implements Scenario.

Definition at line 54 of file simplescenario.hpp.

54{ return numeraire_; }

◆ setNumeraire()

void setNumeraire ( Real n )

overridevirtual

Set the Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ].

Implements Scenario.

Definition at line 55 of file simplescenario.hpp.

55{ numeraire_ = n; }

◆ isAbsolute()

bool isAbsolute ( ) const

overridevirtual

Is this an absolute or difference scenario?

Implements Scenario.

Definition at line 57 of file simplescenario.hpp.

57{ return isAbsolute_; }

ore::analytics::SimpleScenario::isAbsolute_

bool isAbsolute_

Definition: simplescenario.hpp:85

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◆ coordinates()

const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< Real > > > & coordinates ( ) const

overridevirtual

Get coordinates.

Implements Scenario.

Definition at line 59 of file simplescenario.hpp.

                                 {
        return sharedData_->coordinates;
    }

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◆ keysHash()

std::size_t keysHash ( ) const

overridevirtual

return fingerprint identifying the set of rf keys of the scenarios, or 0 if not provided by the implementation

Reimplemented from Scenario.

Definition at line 63 of file simplescenario.hpp.

63{ return sharedData_->keysHash; }

◆ has()

bool has ( const RiskFactorKey & key ) const

overridevirtual

Check whether this scenario provides the data for the given key.

Implements Scenario.

Definition at line 35 of file simplescenario.cpp.

                                                       {
    return sharedData_->keyIndex.find(key) != sharedData_->keyIndex.end();
}

◆ keys()

const std::vector< RiskFactorKey > & keys ( ) const

overridevirtual

Risk factor keys for which this scenario provides data.

Implements Scenario.

Definition at line 66 of file simplescenario.hpp.

66{ return sharedData_->keys; }

◆ add()

void add	(	const RiskFactorKey &	key,
		Real	value
	)

overridevirtual

Add an element to the scenario.

Implements Scenario.

Definition at line 39 of file simplescenario.cpp.

                                                             {
    Size dataIndex;
    if (auto i = sharedData_->keyIndex.find(key); i != sharedData_->keyIndex.end()) {
        dataIndex = i->second;
    } else {
        dataIndex = sharedData_->keyIndex[key] = sharedData_->keys.size();
        sharedData_->keys.push_back(key);
        boost::hash_combine(sharedData_->keysHash, key);
    }
 
    if (data_.size() <= dataIndex)
        data_.resize(dataIndex + 1, QuantLib::Null<Real>());
 
    data_[dataIndex] = value;
}

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◆ get()

Real get ( const RiskFactorKey & key ) const

overridevirtual

Get an element from the scenario.

Implements Scenario.

Definition at line 55 of file simplescenario.cpp.

                                                       {
    auto i = sharedData_->keyIndex.find(key);
    QL_REQUIRE(i != sharedData_->keyIndex.end(), "SimpleScenario does not provide data for key " << key);
    return data_[i->second];
}

◆ clone()

QuantLib::ext::shared_ptr< Scenario > clone ( ) const

overridevirtual

This does not close the shared data.

Implements Scenario.

Definition at line 61 of file simplescenario.cpp.

                                                            {
    return QuantLib::ext::make_shared<SimpleScenario>(*this);
}

◆ setAbsolute()

void setAbsolute ( const bool b )

overridevirtual

Set if this is an absolute scenario.

Implements Scenario.

Definition at line 65 of file simplescenario.cpp.

65{ isAbsolute_ = isAbsolute; }

ore::analytics::SimpleScenario::isAbsolute

bool isAbsolute() const override

Is this an absolute or difference scenario?

Definition: simplescenario.hpp:57

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◆ setCoordinates()

void setCoordinates	(	const RiskFactorKey::KeyType	type,
		const std::string &	name,
		const std::vector< std::vector< Real > > &	coordinates
	)

Definition at line 67 of file simplescenario.cpp.

                                                                                   {
    sharedData_->coordinates[std::make_pair(type, name)] = coordinates;
}

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◆ sharedData()

const boost::shared_ptr< SharedData > & sharedData ( ) const

get shared data block (for construction of sister scenarios)

Definition at line 78 of file simplescenario.hpp.

78{ return sharedData_; }

◆ data()

const std::vector< Real > & data ( ) const

get data, order is the same as in keys()

Definition at line 81 of file simplescenario.hpp.

81{ return data_; }

Member Data Documentation

◆ sharedData_

QuantLib::ext::shared_ptr<SharedData> sharedData_

private

Definition at line 84 of file simplescenario.hpp.

◆ isAbsolute_

bool isAbsolute_ = true

private

Definition at line 85 of file simplescenario.hpp.

◆ asof_

Date asof_

private

Definition at line 86 of file simplescenario.hpp.

◆ label_

std::string label_

private

Definition at line 87 of file simplescenario.hpp.

◆ numeraire_

Real numeraire_ = 0.0

private

Definition at line 88 of file simplescenario.hpp.

◆ data_

std::vector<Real> data_

private

Definition at line 89 of file simplescenario.hpp.

Classes

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ SimpleScenario() [1/2]

◆ SimpleScenario() [2/2]

Member Function Documentation

◆ asof()

◆ setAsof()

◆ label() [1/2]

◆ label() [2/2]

◆ getNumeraire()

◆ setNumeraire()

◆ isAbsolute()

◆ coordinates()

◆ keysHash()

◆ has()

◆ keys()

◆ add()

◆ get()

◆ clone()

◆ setAbsolute()

◆ setCoordinates()

◆ sharedData()

◆ data()

Member Data Documentation

◆ sharedData_

◆ isAbsolute_

◆ asof_

◆ label_

◆ numeraire_

◆ data_