simplescenariofactory.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 simplescenariofactory.hpp
    \brief factory classes for simple scenarios
    \ingroup scenario
*/
 
#pragma once
 
#include <boost/make_shared.hpp>
#include <orea/scenario/scenariofactory.hpp>
#include <orea/scenario/simplescenario.hpp>
 
namespace ore {
namespace analytics {
 
//! Factory class for building simple scenario objects
/*! \ingroup scenario
 */
class SimpleScenarioFactory : public ScenarioFactory {
public:
    /*! use shared data block only if it is guarateed that all scenarios created by this factory:
        - are all absolute or all relative
        - provide values for exactly the same set of risk factor keys
        - have the same coordinates for all risk factor keys (if any) */
    explicit SimpleScenarioFactory(const bool useCommonSharedDataBlock = false)
        : useCommonSharedDataBlock_(useCommonSharedDataBlock) {}
    explicit SimpleScenarioFactory(const QuantLib::ext::shared_ptr<SimpleScenario::SharedData>& sharedData)
        : useCommonSharedDataBlock_(true), sharedData_(sharedData) {}
    const QuantLib::ext::shared_ptr<Scenario> buildScenario(Date asof, bool isAbsolute, const std::string& label = "",
                                                            Real numeraire = 0.0) const override {
        auto tmp = QuantLib::ext::make_shared<SimpleScenario>(asof, label, numeraire,
                                                              useCommonSharedDataBlock_ ? sharedData_ : nullptr);
        tmp->setAbsolute(isAbsolute);
        if (useCommonSharedDataBlock_ && sharedData_ == nullptr)
            sharedData_ = tmp->sharedData();
        return tmp;
    }
 
private:
    bool useCommonSharedDataBlock_ = false;
    mutable QuantLib::ext::shared_ptr<SimpleScenario::SharedData> sharedData_;
};
 
} // namespace analytics
} // namespace ore