simmarket.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 simulation/simmarket.hpp
    \brief A Market class that can be Simulated
    \ingroup simulation
*/
 
#pragma once
 
#include <orea/scenario/aggregationscenariodata.hpp>
#include <orea/simulation/fixingmanager.hpp>
#include <ored/configuration/conventions.hpp>
#include <ored/marketdata/marketimpl.hpp>
 
namespace ore {
namespace analytics {
using namespace ore::data;
 
//! Simulation Market
/*!
  A Simulation Market is a MarketImpl which is used for pricing under scenarios.
  It has an update method which is used to generate or retrieve a new market scenario,
  to apply the scenario to its term structures and to notify all termstructures and
  instruments of this change so that the instruments are recalculated with the NPV call.
 
  \ingroup simulation
 */
class SimMarket : public ore::data::MarketImpl {
public:
    explicit SimMarket(const bool handlePseudoCurrencies) : MarketImpl(handlePseudoCurrencies), numeraire_(1.0) {}
 
    //! Generate or retrieve market scenario, update market, notify termstructures and update fixings
    virtual void update(const Date& d) {
        preUpdate();
        updateDate(d);
        updateScenario(d);
        postUpdate(d, true);
        updateAsd(d);
    }
 
    //! Observable settings depending on selected mode, before we update the market
    virtual void preUpdate() = 0;
 
    //! Update to the given date
    virtual void updateDate(const Date&) = 0;
 
    //! Retrieve next market scenario and apply this, but don't update date
    virtual void updateScenario(const Date&) = 0;
 
    //! Observable reset depending on selected mode, instrument updates
    virtual void postUpdate(const Date& d, bool withFixings) = 0;
 
    //! Update aggregation scenario data
    virtual void updateAsd(const Date&) = 0;
 
    //! Return current numeraire value
    Real numeraire() { return numeraire_; }
 
    //! Return current scenario label, if any.
    const std::string& label() { return label_; }
 
    //! Reset sim market to initial state
    virtual void reset() = 0;
 
    //! Get the fixing manager
    virtual const QuantLib::ext::shared_ptr<FixingManager>& fixingManager() const = 0;
 
protected:
    Real numeraire_;
    std::string label_;
};
} // namespace analytics
} // namespace ore