Reference manual - version orea_version
Public Member Functions | List of all members
HistoricalScenarioGeneratorTransform Class Reference

Historical scenario generator transform. More...

#include <orea/scenario/historicalscenariogenerator.hpp>

+ Inheritance diagram for HistoricalScenarioGeneratorTransform:

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< Scenarionext (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 ReturnConfigurationreturnConfiguration () const
 Return configuration.
virtual QuantLib::Real scaling (const RiskFactorKey &key, const QuantLib::Real &keyReturn)
QuantLib::ext::shared_ptr< Scenarionext (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< Scenarionext (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< HistoricalScenarioLoaderhistoricalScenarioLoader_
std::vector< QuantLib::Date > startDates_
std::vector< QuantLib::Date > endDates_
QuantLib::ext::shared_ptr< ScenarioFactoryscenarioFactory_
QuantLib::ext::shared_ptr< ScenariobaseScenario_
std::vector< HistoricalScenarioCalculationDetailscalculationDetails_
QuantLib::Calendar cal_
QuantLib::Size mporDays_ = 10

Detailed Description

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.