ReturnConfiguration Class Reference

Return type for historical scenario generation (absolute, relative, log) More...

#include <orea/scenario/historicalscenariogenerator.hpp>

Public Types
enum class	ReturnType { Absolute , Relative , Log }

Public Member Functions
	ReturnConfiguration ()
	default return types per risk factor
	ReturnConfiguration (const std::map< RiskFactorKey::KeyType, ReturnType > &returnType)
	customised return types per risk factor
QuantLib::Real	returnValue (const RiskFactorKey &key, const QuantLib::Real v1, const QuantLib::Real v2, const QuantLib::Date &d1, const QuantLib::Date &d2) const
QuantLib::Real	applyReturn (const RiskFactorKey &key, const QuantLib::Real baseValue, const QuantLib::Real returnValue) const
	apply return from v1, v2 to base value
const std::map< RiskFactorKey::KeyType, ReturnType >	returnTypes () const
	get return types

Detailed Description

Return type for historical scenario generation (absolute, relative, log)

Member Function Documentation

returnValue()

QuantLib::Real returnValue	(	const RiskFactorKey &	key,
		const QuantLib::Real	v1,
		const QuantLib::Real	v2,
		const QuantLib::Date &	d1,
		const QuantLib::Date &	d2
	)		const

Compute return from v1, v2. The date parameters are are used to improve the log messages