Reference manual - version orea_version
#include <orea/scenario/scenario.hpp>
Inheritance diagram for Scenario:Public Member Functions | |
| virtual | ~Scenario () |
| Destructor. | |
| virtual const Date & | asof () const =0 |
| Return the scenario asof date. | |
| virtual const string & | label () const =0 |
| Get the scenario label. | |
| virtual void | label (const string &)=0 |
| Set the scenario label. | |
| virtual Real | getNumeraire () const =0 |
| Get Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ]. | |
| virtual void | setNumeraire (Real n)=0 |
| Set the Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ]. | |
| virtual bool | has (const RiskFactorKey &key) const =0 |
| Check whether this scenario provides the data for the given key. | |
| virtual const std::vector< RiskFactorKey > & | keys () const =0 |
| Risk factor keys for which this scenario provides data. | |
| virtual void | add (const RiskFactorKey &key, Real value)=0 |
| Add an element to the scenario. | |
| virtual Real | get (const RiskFactorKey &key) const =0 |
| Get an element from the scenario. | |
| virtual boost::shared_ptr< Scenario > | clone () const =0 |
| clones a scenario and returns a pointer to the new object | |
Friends | |
| class | boost::serialization::access |
Scenario Base Class.
A scenario contains a single cross asset model sample in terms of yield curves by currency, FX rates, etc.
This base class provides the interface to add and retrieve data to and from a scenario. Concrete simple and memory optimized "compact" scenario classes are derived from this.
