Class for loading historical scenarios. More...

#include <orea/scenario/scenarioloader.hpp>

Inheritance diagram for HistoricalScenarioLoader:

Public Member Functions
	HistoricalScenarioLoader ()
	Default constructor.
	HistoricalScenarioLoader (const QuantLib::ext::shared_ptr< ScenarioReader > &scenarioReader, const QuantLib::Date &startDate, const QuantLib::Date &endDate, const QuantLib::Calendar &calendar)
	HistoricalScenarioLoader (const QuantLib::ext::shared_ptr< ScenarioReader > &scenarioReader, const std::set< QuantLib::Date > &dates)
	HistoricalScenarioLoader (const std::vector< QuantLib::ext::shared_ptr< ore::analytics::Scenario > > &scenarios, const std::set< QuantLib::Date > &dates)
QuantLib::ext::shared_ptr< ore::analytics::Scenario >	getScenario (const QuantLib::Date &date) const
	Get a Scenario for a given date.
std::vector< QuantLib::Date >	dates ()
Public Member Functions inherited from ScenarioLoader
QuantLib::Size	numScenarios () const
	Number of scenarios.
const std::map< QuantLib::Date, QuantLib::ext::shared_ptr< ore::analytics::Scenario > > &	getScenarios (Size i)
std::vector< std::map< QuantLib::Date, QuantLib::ext::shared_ptr< ore::analytics::Scenario > > > &	scenarios ()
	Set scenarios.
const std::vector< std::map< QuantLib::Date, QuantLib::ext::shared_ptr< ore::analytics::Scenario > > > &	scenarios () const
	The scenarios.
void	add (const QuantLib::Date &date, Size index, const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &scenario)

Additional Inherited Members
Protected Attributes inherited from ScenarioLoader
std::vector< std::map< QuantLib::Date, QuantLib::ext::shared_ptr< ore::analytics::Scenario > > >	scenarios_

Detailed Description

Class for loading historical scenarios.

Constructor & Destructor Documentation

HistoricalScenarioLoader	(	const QuantLib::ext::shared_ptr< ScenarioReader > &	scenarioReader,
		const QuantLib::Date &	startDate,
		const QuantLib::Date &	endDate,
		const QuantLib::Calendar &	calendar )

Constructor that loads scenarios, read from scenarioReader, between startDate and endDate.

Warning: The scenarios coming from scenarioReader must be in ascending order. If not, an exception is thrown.

Parameters

scenarioReader	A scenario reader that feeds the loader with scenarios
startDate	The first date to load a scenario for
endDate	The last date to load a scenario for
calendar	Calendar to use when advancing dates

HistoricalScenarioLoader	(	const QuantLib::ext::shared_ptr< ScenarioReader > &	scenarioReader,
		const std::set< QuantLib::Date > &	dates )

Constructor that loads scenarios, read from scenarioReader, for given dates

Parameters

scenarioReader	A scenario reader that feeds the loader with scenarios
dates	The first date to load a scenario for

HistoricalScenarioLoader	(	const std::vector< QuantLib::ext::shared_ptr< ore::analytics::Scenario > > &	scenarios,
		const std::set< QuantLib::Date > &	dates )

Constructor that loads scenarios from a vector

Parameters

scenarios	A vector of scenarios
dates	The first date to load a a scenario for