Reference manual - version orea_version
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
ScenarioPathGenerator Class Referenceabstract

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< Scenarionext (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_

Detailed Description

Scenario generator that generates an entire path.

Constructor & Destructor Documentation

◆ ScenarioPathGenerator()

ScenarioPathGenerator ( Date  today,
const vector< Date > &  dates,
TimeGrid  timeGrid 


todayToday's date
datesFuture evaluation dates
timeGridAssociated time grid