Historical Scenario Generator. More...

#include <orea/scenario/historicalscenariogenerator.hpp>

Inheritance diagram for HistoricalScenarioGenerator:

Classes
struct	HistoricalScenarioCalculationDetails

Public Member Functions
	HistoricalScenarioGenerator (const QuantLib::ext::shared_ptr< HistoricalScenarioLoader > &historicalScenarioLoader, const QuantLib::ext::shared_ptr< ScenarioFactory > &scenarioFactory, const QuantLib::ext::shared_ptr< ReturnConfiguration > &returnConfiguration, const QuantLib::Calendar &cal, const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &adjFactors=nullptr, const Size mporDays=10, const bool overlapping=true, const std::string &labelPrefix="", const bool generateDifferenceScenarios=false)
	Default constructor.
	HistoricalScenarioGenerator (const QuantLib::ext::shared_ptr< HistoricalScenarioLoader > &historicalScenarioLoader, const QuantLib::ext::shared_ptr< ScenarioFactory > &scenarioFactory, const QuantLib::ext::shared_ptr< ReturnConfiguration > &returnConfiguration, const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &adjFactors=nullptr, const std::string &labelPrefix="", const bool generateDifferenceScenarios=false)
	Constructor with no mporDays/Calendar, construct historical shift scenario between each scneario.
QuantLib::ext::shared_ptr< Scenario > &	baseScenario ()
	Set base scenario, this also defines the asof date.
virtual const QuantLib::ext::shared_ptr< Scenario > &	baseScenario () const
	Get base scenario.
const QuantLib::Calendar &	cal () const
	Get calendar.
QuantLib::Size	mporDays () const
	Get mpor days.
bool	overlapping () const
	Are scenarios overlapping.
const QuantLib::ext::shared_ptr< ReturnConfiguration > &	returnConfiguration () const
	Return configuration.
virtual QuantLib::Real	scaling (const RiskFactorKey &key, const QuantLib::Real &keyReturn)
	Scaling.
QuantLib::ext::shared_ptr< Scenario >	next (const QuantLib::Date &d) override
	Return the next scenario for the given date.
const std::vector< HistoricalScenarioCalculationDetails > &	lastHistoricalScenarioCalculationDetails () const
	Return the calculation details of the last generated scenario *‍/.
void	reset () override
	Reset the generator so calls to next() return the first scenario.
virtual QuantLib::Size	numScenarios () const
	Number of scenarios this generator can generate.
virtual void	setDates ()
	set the start and end dates, can be overwritten in derived class
const std::vector< QuantLib::Date > &	startDates () const
	start dates from which the scenarios were generated from
const std::vector< QuantLib::Date > &	endDates () const
	end dates from which the scenarios were generated from
const QuantLib::ext::shared_ptr< HistoricalScenarioLoader > &	scenarioLoader () const
	Get the HistoricalScenarioLoader.
const QuantLib::ext::shared_ptr< ScenarioFactory > &	scenarioFactory () const
	Get the ScenarioFactory.
const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &	adjFactors () const
	Get the adj factors.
std::vector< std::pair< QuantLib::Date, QuantLib::Date > >	filteredScenarioDates (const ore::data::TimePeriod &period) const
	Get (start, end) scenario date pairs filtered on the given period.
const std::string &	labelPrefix () const
	Get the scenario label prefix.
void	setGenerateDifferenceScenarios (const bool b)
const bool	generateDifferenceScenarios () const
Public Member Functions inherited from ScenarioGenerator
virtual	~ScenarioGenerator ()
	Default destructor.
virtual QuantLib::ext::shared_ptr< Scenario >	next (const Date &d)=0
	Return the next scenario for the given date.

Protected Member Functions
std::pair< QuantLib::ext::shared_ptr< Scenario >, QuantLib::ext::shared_ptr< Scenario > >	scenarioPair ()
	The Scenario Pairs for a given index.
QuantLib::Real	adjustedPrice (RiskFactorKey key, QuantLib::Date d, QuantLib::Real price)
	Returns the adjusted price.

Protected Attributes
Size	i_
QuantLib::ext::shared_ptr< HistoricalScenarioLoader >	historicalScenarioLoader_
std::vector< QuantLib::Date >	startDates_
std::vector< QuantLib::Date >	endDates_
QuantLib::ext::shared_ptr< ScenarioFactory >	scenarioFactory_
QuantLib::ext::shared_ptr< Scenario >	baseScenario_
std::vector< HistoricalScenarioCalculationDetails >	calculationDetails_
QuantLib::Calendar	cal_
QuantLib::Size	mporDays_ = 10

Detailed Description

Historical Scenario Generator.

A Scenario Generator that takes historical scenarios and builds new scenarios by applying historical shifts to the base scenario (which typically comes from todays market).

This generator can be used for historical VAR and backtesting calculations, unlike a PRNG based generator it is limited in the number of scenarios it can generate.

The scenarios generated are based on the scenario differences between t and t+mpor, these differences are typically a relative change and this change is then applied to the baseScenario to give a new scenario which is asof Today or Today+mpor.

Constructor & Destructor Documentation

◆ HistoricalScenarioGenerator() [1/2]

HistoricalScenarioGenerator	(	const QuantLib::ext::shared_ptr< HistoricalScenarioLoader > &	historicalScenarioLoader,
		const QuantLib::ext::shared_ptr< ScenarioFactory > &	scenarioFactory,
		const QuantLib::ext::shared_ptr< ReturnConfiguration > &	returnConfiguration,
		const QuantLib::Calendar &	cal,
		const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &	adjFactors = nullptr,
		const Size	mporDays = 10,
		const bool	overlapping = true,
		const std::string &	labelPrefix = "",
		const bool	generateDifferenceScenarios = false )

Default constructor.

Parameters

historicalScenarioLoader	Historical Scenario Loader containing all scenarios
scenarioFactory	Scenario factory to use
returnConfiguration	return configuration
cal	Calendar to use
adjFactors	optional adjustment factors for stock splits etc
mporDays	Mpor days or step size
overlapping	overlapping scenarios
labelPrefix	string prepended to label of all scenarios generated
generateDifferenceScenarios	indicates if the generated sceanrios will be absolute or difference

◆ HistoricalScenarioGenerator() [2/2]

HistoricalScenarioGenerator	(	const QuantLib::ext::shared_ptr< HistoricalScenarioLoader > &	historicalScenarioLoader,
		const QuantLib::ext::shared_ptr< ScenarioFactory > &	scenarioFactory,
		const QuantLib::ext::shared_ptr< ReturnConfiguration > &	returnConfiguration,
		const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &	adjFactors = nullptr,
		const std::string &	labelPrefix = "",
		const bool	generateDifferenceScenarios = false )

Constructor with no mporDays/Calendar, construct historical shift scenario between each scneario.

Parameters

historicalScenarioLoader	Historical Scenario Loader containing all scenarios
scenarioFactory	Scenario factory to use
returnConfiguration	return configuration
adjFactors	optional adjustment factors for stock splits etc
labelPrefix	string prepended to label of all scenarios generated
generateDifferenceScenarios	indicates if the generated sceanrios will be absolute or difference

Member Function Documentation

◆ baseScenario()

virtual const QuantLib::ext::shared_ptr< Scenario > & baseScenario ( ) const

virtual

Get base scenario.

Reimplemented in ZeroToParScenarioGenerator.

◆ next()

QuantLib::ext::shared_ptr< Scenario > next ( const QuantLib::Date & d )

override

Return the next scenario for the given date.

Date should be asof or asof+mporDays, this class only checks that date is >= the asof date. Whatever you put in here will be in the returned scenario.

Generator returns scenarios in order of shifts and throws if we have run out of historicals

If Mpor > 1 than the scenarios will overlap.

◆ 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.

Reimplemented in HistoricalScenarioGeneratorRandom, and HistoricalScenarioGeneratorWithFilteredDates.

◆ adjustedPrice()

QuantLib::Real adjustedPrice	(	RiskFactorKey	key,
		QuantLib::Date	d,
		QuantLib::Real	price )

protected

Returns the adjusted price.

Scenarios may contian unadjusted market prices e.g equity spot prices, apply adjustment factors to ensure no jumps between 2 scenarios Only handles equity spot adjustments at the moment

Classes

Public Member Functions

Protected Member Functions

Protected Attributes