Historical scenario generator transform. More...
#include <orea/scenario/historicalscenariogenerator.hpp>
Public Member Functions | |
HistoricalScenarioGeneratorTransform (QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hsg, const QuantLib::ext::shared_ptr< ScenarioSimMarket > &simMarket, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketConfig) | |
QuantLib::ext::shared_ptr< Scenario > | next (const QuantLib::Date &d) override |
Public Member Functions inherited from HistoricalScenarioGenerator | |
HistoricalScenarioGenerator (const QuantLib::ext::shared_ptr< HistoricalScenarioLoader > &historicalScenarioLoader, const QuantLib::ext::shared_ptr< ScenarioFactory > &scenarioFactory, const QuantLib::Calendar &cal, const QuantLib::ext::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... | |
HistoricalScenarioGenerator (const boost::shared_ptr< HistoricalScenarioLoader > &historicalScenarioLoader, const boost::shared_ptr< ScenarioFactory > &scenarioFactory, const boost::shared_ptr< ore::data::AdjustmentFactors > &adjFactors=nullptr, const ReturnConfiguration &returnConfiguration=ReturnConfiguration(), const std::string &labelPrefix="") | |
Constructor with no mporDays/Calendar, construct historical shift scenario between each scneario. More... | |
QuantLib::ext::shared_ptr< Scenario > & | baseScenario () |
Set base scenario, this also defines the asof date. | |
const QuantLib::ext::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. | |
QuantLib::ext::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 */. | |
void | reset () override |
Reset the generator so calls to next() return the first scenario. More... | |
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 QuantLib::ext::shared_ptr< HistoricalScenarioLoader > & | scenarioLoader () const |
Get the HistoricalScenarioLoader. | |
const QuantLib::ext::shared_ptr< ScenarioFactory > & | scenarioFactory () const |
Get the ScenarioFactory. | |
const QuantLib::ext::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 QuantLib::ext::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< QuantLib::ext::shared_ptr< Scenario >, QuantLib::ext::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_ |
QuantLib::ext::shared_ptr< HistoricalScenarioLoader > | historicalScenarioLoader_ |
std::vector< QuantLib::Date > | startDates_ |
std::vector< QuantLib::Date > | endDates_ |
QuantLib::ext::shared_ptr< ScenarioFactory > | scenarioFactory_ |
QuantLib::ext::shared_ptr< Scenario > | baseScenario_ |
std::vector< HistoricalScenarioCalculationDetails > | calculationDetails_ |
QuantLib::Calendar | cal_ |
QuantLib::Size | mporDays_ = 10 |
Historical scenario generator transform.
This class allows scenarios within a historical scenario generator to be transformed from discount rates to zero rates and survival probabilities to hazard rates WARNING: This transform function should only be used for backtesting statistics reports requiring the transforms listed above.