#include <orea/scenario/shiftscenariogenerator.hpp>

Inheritance diagram for ShiftScenarioGenerator:

Classes
class	ScenarioDescription

Public Types
enum class	ShiftType { Absolute , Relative }

Public Member Functions
	ShiftScenarioGenerator (const boost::shared_ptr< Scenario > &baseScenario, const boost::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const boost::weak_ptr< ScenarioSimMarket > &simMarket)
	Constructor.

	~ShiftScenarioGenerator ()
	Default destructor.

boost::shared_ptr< Scenario >	next (const Date &d) override
	Scenario Generator interface.

void	reset () override
	Reset the generator so calls to next() return the first scenario. More...

Size	samples ()
	Inspectors. More...

const boost::shared_ptr< Scenario > &	baseScenario ()
	Return the base scenario, i.e. cached initial values of all relevant market points.

const std::vector< boost::shared_ptr< Scenario > > &	scenarios ()
	Return vector of sensitivity scenarios, scenario 0 is the base scenario.

std::vector< ScenarioDescription >	scenarioDescriptions ()
	Return vector of scenario descriptions.

const std::map< RiskFactorKey, std::string > &	keyToFactor ()

const std::map< std::string, RiskFactorKey > &	factorToKey ()
	Return revers map of factors to RiskFactorKeys.

void	applyShift (Size j, Real shiftSize, bool up, ShiftType type, const vector< Time > &shiftTimes, const vector< Real > &values, const vector< Time > &times, vector< Real > &shiftedValues, bool initialise)
	Apply 1d triangular shift to 1d data such as yield curves, public to allow test suite access. More...

void	applyShift (Size j, Size k, Real shiftSize, bool up, ShiftType type, const vector< Time > &shiftX, const vector< Time > &shiftY, const vector< Time > &dataX, const vector< Time > &dataY, const vector< vector< Real >> &data, vector< vector< Real >> &shiftedData, bool initialise)
	Apply 2d shift to 2d matrix such as swaption volatilities, public to allow test suite access. More...

boost::shared_ptr< Scenario >	baseScenario () const
	return the base scenario

Public Member Functions inherited from ScenarioGenerator
virtual	~ScenarioGenerator ()
	Default destructor.

Protected Attributes
const boost::shared_ptr< Scenario >	baseScenario_

const boost::shared_ptr< ScenarioSimMarketParameters >	simMarketData_

const boost::weak_ptr< ScenarioSimMarket >	simMarket_

std::vector< boost::shared_ptr< Scenario > >	scenarios_

Size	counter_

std::vector< ScenarioDescription >	scenarioDescriptions_

std::map< RiskFactorKey, std::string >	keyToFactor_

std::map< std::string, RiskFactorKey >	factorToKey_

Detailed Description

Shift Scenario Generator.

Base class for sensitivity and stress scenario generators

Member Function Documentation

◆ reset()

void reset ( )

overridevirtual

Reset the generator so calls to next() return the first scenario.

This allows re-generation of scenarios if required.

Implements ScenarioGenerator.

◆ samples()

Size samples ( )

Inspectors.

Number of shift scenarios

◆ applyShift() [1/2]

void applyShift	(	Size	j,
		Real	shiftSize,
		bool	up,
		ShiftType	type,
		const vector< Time > &	shiftTimes,
		const vector< Real > &	values,
		const vector< Time > &	times,
		vector< Real > &	shiftedValues,
		bool	initialise
	)

Apply 1d triangular shift to 1d data such as yield curves, public to allow test suite access.

Apply triangular shaped shifts to the underlying curve where the triangle reaches from the previous to the next shift tenor point with peak at the current shift tenor point. At the initial and final shift tenor the shape is replaced such that the full shift is applied to all curve grid points to the left of the first shift point and to the right of the last shift point, respectively. The procedure guarantees that no sensitivity to original curve points is "missed" when the shift curve is less granular, e.g. original curve |...|...|...|...|...|...|...|...|...| shift curve ......|...........|...........|......

Parameters

j	Number of the shift curve tenor point to be shifted here
shiftSize	Shift size interpreted as either absolute or relative shift
up	Upwards shift if true, otherwise downwards
type	Absolute: newValue = oldValue + shiftSize. Relative: newValue = oldValue * (1 + shiftSize)
shiftTimes	Shift tenors expressed as times
values	Input curve values such as zero rates
times	Tenor points of the input curve, expressed as times
shiftedValues	Resulting shifted curve with same tenor structure as the input curve
initialise	Initialise shiftedValues vector before applying this shift j (yes for sensitivity, no for stress)

◆ applyShift() [2/2]

void applyShift	(	Size	j,
		Size	k,
		Real	shiftSize,
		bool	up,
		ShiftType	type,
		const vector< Time > &	shiftX,
		const vector< Time > &	shiftY,
		const vector< Time > &	dataX,
		const vector< Time > &	dataY,
		const vector< vector< Real >> &	data,
		vector< vector< Real >> &	shiftedData,
		bool	initialise
	)

Apply 2d shift to 2d matrix such as swaption volatilities, public to allow test suite access.

This is the 2d generalisation of the 1d version of applyShift()

Parameters

j	Index of the shift tenor in "expiry" direction
k	Index of the shift tenor in "term" (Swaptions) or "strike" (Caps) direction
shiftSize	Shift size interpreted as either absolute or relative shift
up	Upwards shift if true, otherwise downwards
type	Absolute: newValue = oldValue + shiftSize. Relative: newValue = oldValue * (1 + shiftSize)
shiftX	Coordinate time in "expiry" direction of the shift curve
shiftY	Coordinate time in "term" or "strike" direction of the shift curve
dataX	Coordinate time in "expiry" direction of the underlying data
dataY	Coordinate time in "term" or "strike" direction of the underlying data
data	Matrix of input data
shiftedData	Matrix of shifted result data
initialise	Initialise shiftedData vector before applying this shift j/k (yes for sensitivity, no for stress)

Classes

Public Types