Reference manual - version orea_version
Scenario Generator description. More...
#include <orea/scenario/scenariogeneratordata.hpp>
Inheritance diagram for ScenarioGeneratorData:Public Member Functions | |
| ScenarioGeneratorData (QuantLib::ext::shared_ptr< DateGrid > dateGrid, SequenceType sequenceType, long seed, Size samples, SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, bool withCloseOutLag=false, bool withMporStickyDate=false) | |
| Constructor. | |
| void | clear () |
| virtual void | fromXML (XMLNode *node) override |
| Load members from XML. | |
| virtual XMLNode * | toXML (XMLDocument &doc) const override |
| Write members to XML. | |
Inspectors | |
| QuantLib::ext::shared_ptr< DateGrid > | getGrid () const |
| SequenceType | sequenceType () const |
| long | seed () const |
| Size | samples () const |
| SobolBrownianGenerator::Ordering | ordering () const |
| SobolRsg::DirectionIntegers | directionIntegers () const |
| QuantLib::ext::shared_ptr< DateGrid > | closeOutDateGrid () const |
| bool | withCloseOutLag () const |
| bool | withMporStickyDate () const |
| Period | closeOutLag () const |
| Public Member Functions inherited from XMLSerializable | |
| void | fromXMLString (const std::string &xml) |
| std::string | toXMLString () const |
Setters | |
| void | setGrid (QuantLib::ext::shared_ptr< DateGrid > grid) |
| SequenceType & | sequenceType () |
| long & | seed () |
| Size & | samples () |
| SobolBrownianGenerator::Ordering & | ordering () |
| SobolRsg::DirectionIntegers & | directionIntegers () |
| bool & | withCloseOutLag () |
| bool & | withMporStickyDate () |
| Period & | closeOutLag () |
Scenario Generator description.
ScenarioGeneratorData wraps the specification of how to build a scenario generator from a given cross asset model and covers the choice and configuration of
