deltascenariofactory.hpp

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/*
 Copyright (C) 2017 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 orea/scenario/deltascenariofactory.hpp
    \brief factory class for cloning a cached scenario
    \ingroup scenario
*/
 
#pragma once
 
#include <orea/scenario/scenariofactory.hpp>
#include <orea/scenario/simplescenariofactory.hpp>
 
#include <boost/make_shared.hpp>
 
namespace ore {
namespace analytics {
 
//! Factory class for cloning scenario objects
/*! \ingroup scenario
 */
class DeltaScenarioFactory : public ore::analytics::ScenarioFactory {
public:
    //! Constructor
    DeltaScenarioFactory(const QuantLib::ext::shared_ptr<ore::analytics::Scenario>& baseScenario,
                         const QuantLib::ext::shared_ptr<ore::analytics::ScenarioFactory>& scenarioFactory =
                             QuantLib::ext::make_shared<ore::analytics::SimpleScenarioFactory>(false));
    //! returns a new scenario, using the base scenario as a starting point
    const QuantLib::ext::shared_ptr<ore::analytics::Scenario>
    buildScenario(QuantLib::Date asof, bool isAbsolute, const std::string& label = "",
                  QuantLib::Real numeraire = 0.0) const override;
 
private:
    QuantLib::ext::shared_ptr<ore::analytics::Scenario> baseScenario_;
    QuantLib::ext::shared_ptr<ore::analytics::ScenarioFactory> scenarioFactory_;
};
 
} // namespace analytics
} // namespace ore