clonedscenariogenerator.hpp

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/*
 Copyright (C) 2016 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file scenario/scenariogenerator.hpp
    \brief Scenario generator base classes
    \ingroup scenario
*/
 
#pragma once
 
#include <orea/scenario/scenariogenerator.hpp>
 
namespace ore {
namespace analytics {
 
class ClonedScenarioGenerator : public ScenarioGenerator {
public:
    ClonedScenarioGenerator(const QuantLib::ext::shared_ptr<ScenarioGenerator>& scenarioGenerator,
                            const std::vector<Date>& dates, const Size nSamples);
    QuantLib::ext::shared_ptr<Scenario> next(const Date& d) override;
    virtual void reset() override;
 
private:
    std::map<Date, size_t> dates_;
    Date firstDate_;
    Size nSim_ = 0;
    std::vector<QuantLib::ext::shared_ptr<Scenario>> scenarios_;
};
 
} // namespace analytics
} // namespace ore