Reference manual - version orea_version
#include <orea/scenario/historicalscenariogenerator.hpp>
Inheritance diagram for HistoricalScenarioGeneratorWithFilteredDates:Public Member Functions | |
| HistoricalScenarioGeneratorWithFilteredDates (const std::vector< ore::data::TimePeriod > &filter, const boost::shared_ptr< HistoricalScenarioGenerator > &gen) | |
| void | reset () override |
| Reset the generator so calls to next() return the first scenario. More... | |
| 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 */. | |
| 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_ |
This class will only generate the subset of scenarios with start / end dates contained in one of the given time periods. Warning: the base scenario in the passed historical scenario generator must be set on construction of this class, later changes in the base scenario will not be reflected in an instance of this class.
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overridevirtual |
Reset the generator so calls to next() return the first scenario.
This allows re-generation of scenarios if required.
Reimplemented from HistoricalScenarioGenerator.
