scenarioutilities.hpp

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/*
 Copyright (C) 2024 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/scenarioutilities.hpp
    \brief Scenario utility functions
    \ingroup scenario
*/
 
#pragma once
 
#include <orea/scenario/scenario.hpp>
 
#include <set>
 
namespace ore {
namespace analytics {
 
Real getDifferenceScenario(const RiskFactorKey::KeyType keyType, const Real v1, const Real v2);
 
QuantLib::ext::shared_ptr<Scenario> getDifferenceScenario(const QuantLib::ext::shared_ptr<Scenario>& s1,
                                                            const QuantLib::ext::shared_ptr<Scenario>& s2,
                                                            const Date& targetScenarioAsOf = Date(),
                                                            const Real targetScenarioNumeraire = 0.0);
 
Real addDifferenceToScenario(const RiskFactorKey::KeyType keyType, const Real v, const Real d);
 
QuantLib::ext::shared_ptr<Scenario> addDifferenceToScenario(const QuantLib::ext::shared_ptr<Scenario>& s,
                                                            const QuantLib::ext::shared_ptr<Scenario>& d,
                                                            const Date& targetScenarioAsOf = Date(),
                                                            const Real targetScenarioNumeraire = 0.0);
 
QuantLib::ext::shared_ptr<Scenario> recastScenario(
    const QuantLib::ext::shared_ptr<Scenario>& scenario,
    const std::map<std::pair<RiskFactorKey::KeyType, std::string>, std::vector<std::vector<Real>>>& oldCoordinates,
    const std::map<std::pair<RiskFactorKey::KeyType, std::string>, std::vector<std::vector<Real>>>& newCoordinates);
 
QuantLib::ext::shared_ptr<Scenario> recastScenario(
    const QuantLib::ext::shared_ptr<Scenario>& scenario,
    const std::map<std::pair<RiskFactorKey::KeyType, std::string>, std::vector<std::vector<Real>>>& oldCoordinates,
    const std::set<std::tuple<RiskFactorKey::KeyType, std::string, std::vector<std::vector<Real>>>>& newCoordinates);
 
} // namespace analytics
} // namespace ore