Reference manual - version orea_version
Scenario generator that generates an entire path. More...
#include <orea/scenario/scenariogenerator.hpp>
Inheritance diagram for ScenarioPathGenerator:Public Member Functions | |
| ScenarioPathGenerator (Date today, const vector< Date > &dates, TimeGrid timeGrid) | |
| Constructor. More... | |
| virtual QuantLib::ext::shared_ptr< Scenario > | next (const Date &d) override |
| Return the next scenario for the given date. | |
| Public Member Functions inherited from ScenarioGenerator | |
| virtual | ~ScenarioGenerator () |
| Default destructor. | |
| virtual void | reset ()=0 |
| Reset the generator so calls to next() return the first scenario. More... | |
Protected Member Functions | |
| virtual std::vector< QuantLib::ext::shared_ptr< Scenario > > | nextPath ()=0 |
Protected Attributes | |
| Date | today_ |
| vector< Date > | dates_ |
| Size | pathStep_ |
| TimeGrid | timeGrid_ |
| std::vector< QuantLib::ext::shared_ptr< Scenario > > | path_ |
Scenario generator that generates an entire path.
| ScenarioPathGenerator | ( | Date | today, |
| const vector< Date > & | dates, | ||
| TimeGrid | timeGrid | ||
| ) |
Constructor.
| today | Today's date |
| dates | Future evaluation dates |
| timeGrid | Associated time grid |
