scenario generator that builds from historical shifts More...
#include <boost/make_shared.hpp>
#include <ored/utilities/timeperiod.hpp>
#include <orea/scenario/scenariofactory.hpp>
#include <orea/scenario/scenariogenerator.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/scenario/historicalscenarioloader.hpp>
#include <ored/marketdata/adjustmentfactors.hpp>
#include <ql/math/randomnumbers/rngtraits.hpp>
Classes | |
class | ReturnConfiguration |
Return type for historical scenario generation (absolute, relative, log) More... | |
class | HistoricalScenarioGenerator |
Historical Scenario Generator. More... | |
struct | HistoricalScenarioGenerator::HistoricalScenarioCalculationDetails |
class | HistoricalScenarioGeneratorRandom |
Historical scenario generator generating random scenarios, for testing purposes. More... | |
class | HistoricalScenarioGeneratorTransform |
Historical scenario generator transform. More... | |
class | HistoricalScenarioGeneratorWithFilteredDates |
Namespaces | |
ore | |
ore::analytics | |
Functions | |
std::ostream & | operator<< (std::ostream &out, const ReturnConfiguration::ReturnType t) |
scenario generator that builds from historical shifts