Scenario Generator using cross asset model paths. More...
#include <orea/scenario/crossassetmodelscenariogenerator.hpp>
Public Member Functions | |
CrossAssetModelScenarioGenerator (QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > model, QuantLib::ext::shared_ptr< QuantExt::MultiPathGeneratorBase > multiPathGenerator, QuantLib::ext::shared_ptr< ScenarioFactory > scenarioFactory, QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > simMarketConfig, QuantLib::Date today, QuantLib::ext::shared_ptr< DateGrid > grid, QuantLib::ext::shared_ptr< ore::data::Market > initMarket, const std::string &configuration=Market::defaultConfiguration) | |
Constructor. | |
~CrossAssetModelScenarioGenerator () | |
Default destructor. | |
std::vector< QuantLib::ext::shared_ptr< Scenario > > | nextPath () override |
void | reset () override |
Reset the generator so calls to next() return the first scenario. More... | |
Public Member Functions inherited from ScenarioPathGenerator | |
ScenarioPathGenerator (Date today, const vector< Date > &dates, TimeGrid timeGrid) | |
Constructor. More... | |
virtual QuantLib::ext::shared_ptr< Scenario > | next (const Date &d) override |
Return the next scenario for the given date. | |
Public Member Functions inherited from ScenarioGenerator | |
virtual | ~ScenarioGenerator () |
Default destructor. | |
Additional Inherited Members | |
Protected Attributes inherited from ScenarioPathGenerator | |
Date | today_ |
vector< Date > | dates_ |
Size | pathStep_ |
TimeGrid | timeGrid_ |
std::vector< QuantLib::ext::shared_ptr< Scenario > > | path_ |
Scenario Generator using cross asset model paths.
The generator expects
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overridevirtual |
Reset the generator so calls to next() return the first scenario.
This allows re-generation of scenarios if required.
Implements ScenarioGenerator.