SimMarket Class Reference

Simulation Market. More...

#include <orea/simulation/simmarket.hpp>

Inheritance diagram for SimMarket:

Public Member Functions
	SimMarket (const bool handlePseudoCurrencies)
virtual void	update (const Date &d)
	Generate or retrieve market scenario, update market, notify termstructures and update fixings.
virtual void	preUpdate ()=0
	Observable settings depending on selected mode, before we update the market.
virtual void	updateDate (const Date &)=0
	Update to the given date.
virtual void	updateScenario (const Date &)=0
	Retrieve next market scenario and apply this, but don't update date.
virtual void	postUpdate (const Date &d, bool withFixings)=0
	Observable reset depending on selected mode, instrument updates.
virtual void	updateAsd (const Date &)=0
	Update aggregation scenario data.
Real	numeraire ()
	Return current numeraire value.
const std::string &	label ()
	Return current scenario label, if any.
virtual void	reset ()=0
	Reset sim market to initial state.
virtual const QuantLib::ext::shared_ptr< FixingManager > &	fixingManager () const =0
	Get the fixing manager.
Public Member Functions inherited from MarketImpl
Date	asofDate () const override
Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &ccy, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditVolCurve >	cdsVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::InflationIndexObserver >	baseCpis (const string &index, const string &configuration=Market::defaultConfiguration) const
QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const string &index1, const string &index2, const string &configuration=Market::defaultConfiguration) const override
void	refresh (const string &configuration=Market::defaultConfiguration) override
Date	asofDate () const override
Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &ccy, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditVolCurve >	cdsVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::InflationIndexObserver >	baseCpis (const string &index, const string &configuration=Market::defaultConfiguration) const
QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const string &index1, const string &index2, const string &configuration=Market::defaultConfiguration) const override
Public Member Functions inherited from Market
	Market (const bool handlePseudoCurrencies)

Protected Attributes
Real	numeraire_
std::string	label_

Additional Inherited Members
Static Public Attributes inherited from Market
static const string	defaultConfiguration
static const string	inCcyConfiguration
Protected Member Functions inherited from MarketImpl
virtual void	require (const MarketObject o, const string &name, const string &configuration, const bool forceBuild=false) const
void	addSwapIndex (const string &swapindex, const string &discountIndex, const string &configuration=Market::defaultConfiguration) const

Detailed Description

Simulation Market.

A Simulation Market is a MarketImpl which is used for pricing under scenarios. It has an update method which is used to generate or retrieve a new market scenario, to apply the scenario to its term structures and to notify all termstructures and instruments of this change so that the instruments are recalculated with the NPV call.