Reference manual - version orea_version
Historical scenario generator transform. More...
#include <orea/scenario/historicalscenariogenerator.hpp>
Inheritance diagram for HistoricalScenarioGeneratorTransform:Public Member Functions | |
| HistoricalScenarioGeneratorTransform (boost::shared_ptr< HistoricalScenarioGenerator > &hsg, const boost::shared_ptr< ScenarioSimMarket > &simMarket, const boost::shared_ptr< ScenarioSimMarketParameters > &simMarketConfig) | |
| boost::shared_ptr< Scenario > | next (const QuantLib::Date &d) override |
| 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 */. | |
| 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 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_ |
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.
