DeltaScenario Class Reference

Delta Scenario class. More...

#include <orea/scenario/deltascenario.hpp>

Inheritance diagram for DeltaScenario:

Public Member Functions
	DeltaScenario ()
	Constructor.
	DeltaScenario (const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &baseScenario, const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &incrementalScenario)
	Constructor.
const Date &	asof () const override
void	setAsof (const Date &d) override
const std::string &	label () const override
	Return the scenario label.
void	label (const std::string &s) override
	set the label
Real	getNumeraire () const override
	Get Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ].
void	setNumeraire (Real n) override
	Set the Numeraire ratio n = N(t) / N(0) so that Price(0) = N(0) * E [Price(t) / N(t) ].
bool	has (const ore::analytics::RiskFactorKey &key) const override
	Check, get, add a single market point.
const std::vector< ore::analytics::RiskFactorKey > &	keys () const override
const std::vector< ore::analytics::RiskFactorKey > &	delta_keys () const
void	add (const ore::analytics::RiskFactorKey &key, Real value) override
Real	get (const ore::analytics::RiskFactorKey &key) const override
const bool	isAbsolute () const override
void	setAbsolute (const bool b) override
const bool	isPar () const override
void	setPar (const bool b) override
const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< Real > > > &	coordinates () const override
QuantLib::ext::shared_ptr< Scenario >	base () const
	Get base.
QuantLib::ext::shared_ptr< Scenario >	delta () const
	Get delta.
QuantLib::ext::shared_ptr< Scenario >	clone () const override
bool	isCloseEnough (const QuantLib::ext::shared_ptr< Scenario > &s) const override

Protected Attributes
QuantLib::ext::shared_ptr< Scenario >	baseScenario_
QuantLib::ext::shared_ptr< Scenario >	delta_

Detailed Description

Delta Scenario class.

This implementation stores a pointer to a "base scenario", as well as a smaller "delta" scenario, which stores values for any keys where the value is different to base. This is intended as an efficient storage mechanism for e.g. sensitivity scenarios, where many scenario instances are managed in memory but the actual differences are minor.