scenariogeneratorbuilder.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/scenariogeneratorbuilder.hpp
    \brief Build a scenariogenerator
    \ingroup scenario
*/
 
#pragma once
 
#include <vector>
 
#include <ql/types.hpp>
 
#include <qle/models/crossassetmodel.hpp>
#include <qle/methods/pathgeneratorfactory.hpp>
 
#include <orea/scenario/crossassetmodelscenariogenerator.hpp>
#include <orea/scenario/scenariofactory.hpp>
#include <orea/scenario/scenariogeneratordata.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <ored/utilities/xmlutils.hpp>
 
namespace ore {
namespace analytics {
using namespace QuantLib;
 
//! Build a ScenarioGenerator
/*! ScenarioGeneratorBuilder builds a scenario generator
  based on the settings provided via the ScenarioGeneratorData object
  - state process
  - simulation date grid
  - multipath generator
  - scenario factory
  - fixing method
 
  \ingroup scenario
 */
class ScenarioGeneratorBuilder {
public:
    //! Default constructor
    ScenarioGeneratorBuilder() {}
 
    //! Constructor
    ScenarioGeneratorBuilder(QuantLib::ext::shared_ptr<ScenarioGeneratorData> data) : data_(data) {}
 
    //! Build function
    QuantLib::ext::shared_ptr<ScenarioGenerator>
    build(QuantLib::ext::shared_ptr<QuantExt::CrossAssetModel> model, QuantLib::ext::shared_ptr<ScenarioFactory> sf,
          QuantLib::ext::shared_ptr<ScenarioSimMarketParameters> marketConfig, Date asof,
          QuantLib::ext::shared_ptr<ore::data::Market> initMarket,
          const std::string& configuration = ore::data::Market::defaultConfiguration,
          const QuantLib::ext::shared_ptr<PathGeneratorFactory>& pf = QuantLib::ext::make_shared<MultiPathGeneratorFactory>());
 
private:
    QuantLib::ext::shared_ptr<ScenarioGeneratorData> data_;
    boost::optional<std::set<std::string>> currencies_;
};
} // namespace analytics
} // namespace ore