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

Scenario Generator using LGM model paths. More...

#include <orea/scenario/lgmscenariogenerator.hpp>

+ Inheritance diagram for LgmScenarioGenerator:

Public Member Functions

 LgmScenarioGenerator (QuantLib::ext::shared_ptr< QuantExt::LGM > model, QuantLib::ext::shared_ptr< QuantExt::MultiPathGeneratorBase > multiPathGenerator, QuantLib::ext::shared_ptr< ScenarioFactory > scenarioFactory, QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > simMarketConfig, Date today, DateGrid grid)
 ~LgmScenarioGenerator ()
std::vector< QuantLib::ext::shared_ptr< Scenario > > nextPath () override
void reset () override
 Reset the generator so calls to next() return the first scenario. More...
- Public Member Functions inherited from ScenarioPathGenerator
 ScenarioPathGenerator (Date today, const vector< Date > &dates, TimeGrid timeGrid)
 Constructor. More...
virtual QuantLib::ext::shared_ptr< Scenarionext (const Date &d) override
 Return the next scenario for the given date.
- Public Member Functions inherited from ScenarioGenerator
virtual ~ScenarioGenerator ()
 Default destructor.

Additional Inherited Members

- Protected Attributes inherited from ScenarioPathGenerator
Date today_
vector< Date > dates_
Size pathStep_
TimeGrid timeGrid_
std::vector< QuantLib::ext::shared_ptr< Scenario > > path_

Detailed Description

Scenario Generator using LGM model paths.

The generator expects

Member Function Documentation

◆ reset()

void reset ( )

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

This allows re-generation of scenarios if required.

Implements ScenarioGenerator.