HistoricalScenarioGeneratorRandom Class Reference

Historical scenario generator generating random scenarios, for testing purposes. More...

#include <orea/scenario/historicalscenariogenerator.hpp>

Inheritance diagram for HistoricalScenarioGeneratorRandom:

Public Member Functions
	HistoricalScenarioGeneratorRandom (const boost::shared_ptr< HistoricalScenarioLoader > &historicalScenarioLoader, const boost::shared_ptr< ScenarioFactory > &scenarioFactory, const QuantLib::Calendar &cal, const boost::shared_ptr< ore::data::AdjustmentFactors > &adjFactors=nullptr, const QuantLib::Size mporDays=10, const bool overlapping=true, const ReturnConfiguration &returnConfiguration=ReturnConfiguration())
boost::shared_ptr< Scenario >	next (const QuantLib::Date &d) override
void	reset () override
	Reset the generator so calls to next() return the first scenario. More...
Public Member Functions inherited from HistoricalScenarioGenerator
	HistoricalScenarioGenerator (const boost::shared_ptr< HistoricalScenarioLoader > &historicalScenarioLoader, const boost::shared_ptr< ScenarioFactory > &scenarioFactory, const QuantLib::Calendar &cal, const boost::shared_ptr< ore::data::AdjustmentFactors > &adjFactors=nullptr, const Size mporDays=10, const bool overlapping=true, const ReturnConfiguration &returnConfiguration=ReturnConfiguration(), const std::string &labelPrefix="")
	Default constructor. More...
boost::shared_ptr< Scenario > &	baseScenario ()
	Set base scenario, this also defines the asof date.
const boost::shared_ptr< Scenario > &	baseScenario () const
	Get base scenario.
const QuantLib::Calendar &	cal () const
	Get calendar.
QuantLib::Size	mporDays () const
	Get mpor days.
bool	overlapping () const
	Are scenarios overlapping.
const ReturnConfiguration &	returnConfiguration () const
	Return configuration.
virtual QuantLib::Real	scaling (const RiskFactorKey &key, const QuantLib::Real &keyReturn)
	Scaling.
boost::shared_ptr< Scenario >	next (const QuantLib::Date &d) override
	Return the next scenario for the given date. More...
const std::vector< HistoricalScenarioCalculationDetails > &	lastHistoricalScenarioCalculationDetails () const
	Return the calculation details of the last generated scenario *‍/.
virtual QuantLib::Size	numScenarios () const
	Number of scenarios this generator can generate.
virtual void	setDates ()
	set the start and end dates, can be overwritten in derived class
const std::vector< QuantLib::Date > &	startDates () const
	start dates from which the scenarios were generated from
const std::vector< QuantLib::Date > &	endDates () const
	end dates from which the scenarios were generated from
const boost::shared_ptr< HistoricalScenarioLoader > &	scenarioLoader () const
	Get the HistoricalScenarioLoader.
const boost::shared_ptr< ScenarioFactory > &	scenarioFactory () const
	Get the ScenarioFactory.
const boost::shared_ptr< ore::data::AdjustmentFactors > &	adjFactors () const
	Get the adj factors.
std::vector< std::pair< QuantLib::Date, QuantLib::Date > >	filteredScenarioDates (const ore::data::TimePeriod &period) const
	Get (start, end) scenario date pairs filtered on the given period.
const std::string &	labelPrefix () const
	Get the scenario label prefix.
Public Member Functions inherited from ScenarioGenerator
virtual	~ScenarioGenerator ()
	Default destructor.
virtual boost::shared_ptr< Scenario >	next (const Date &d)=0
	Return the next scenario for the given date.

Additional Inherited Members
Protected Member Functions inherited from HistoricalScenarioGenerator
std::pair< boost::shared_ptr< Scenario >, boost::shared_ptr< Scenario > >	scenarioPair ()
	The Scenario Pairs for a given index.
QuantLib::Real	adjustedPrice (RiskFactorKey key, QuantLib::Date d, QuantLib::Real price)
	Returns the adjusted price. More...
Protected Attributes inherited from HistoricalScenarioGenerator
Size	i_
boost::shared_ptr< HistoricalScenarioLoader >	historicalScenarioLoader_
std::vector< QuantLib::Date >	startDates_
std::vector< QuantLib::Date >	endDates_
boost::shared_ptr< ScenarioFactory >	scenarioFactory_
boost::shared_ptr< Scenario >	baseScenario_
std::vector< HistoricalScenarioCalculationDetails >	calculationDetails_
QuantLib::Calendar	cal_
QuantLib::Size	mporDays_

Detailed Description

Historical scenario generator generating random scenarios, for testing purposes.

Constructor & Destructor Documentation

HistoricalScenarioGeneratorRandom()

HistoricalScenarioGeneratorRandom	(	const boost::shared_ptr< HistoricalScenarioLoader > &	historicalScenarioLoader,
		const boost::shared_ptr< ScenarioFactory > &	scenarioFactory,
		const QuantLib::Calendar &	cal,
		const boost::shared_ptr< ore::data::AdjustmentFactors > &	adjFactors = nullptr,
		const QuantLib::Size	mporDays = 10,
		const bool	overlapping = true,
		const ReturnConfiguration &	returnConfiguration = ReturnConfiguration()
	)

Parameters

historicalScenarioLoader	Historical Scenario Loader containing all scenarios
scenarioFactory	Scenario factory to use
cal	Calendar to use
adjFactors	optional adjustment factors for stock splits etc
mporDays	MPOR days
overlapping	overlapping scenarios
returnConfiguration	return configuration

Member Function Documentation

reset()

void reset ( )

overridevirtual

Reset the generator so calls to next() return the first scenario.

This allows re-generation of scenarios if required.

Reimplemented from HistoricalScenarioGenerator.