Scenario Generator using LGM model paths. More...

#include <orea/scenario/lgmscenariogenerator.hpp>

Inheritance diagram for LgmScenarioGenerator:

Public Member Functions
	LgmScenarioGenerator (QuantLib::ext::shared_ptr< QuantExt::LGM > model, QuantLib::ext::shared_ptr< QuantExt::MultiPathGeneratorBase > multiPathGenerator, QuantLib::ext::shared_ptr< ScenarioFactory > scenarioFactory, QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > simMarketConfig, Date today, DateGrid grid)
	Constructor.
	~LgmScenarioGenerator ()
	Destructor.
std::vector< QuantLib::ext::shared_ptr< Scenario > >	nextPath () override
void	reset () override
	Reset the generator so calls to next() return the first scenario.
Public Member Functions inherited from ScenarioPathGenerator
	ScenarioPathGenerator (Date today, const vector< Date > &dates, TimeGrid timeGrid)
	Constructor.
virtual QuantLib::ext::shared_ptr< Scenario >	next (const Date &d) override
	Return the next scenario for the given date.
Public Member Functions inherited from ScenarioGenerator
virtual	~ScenarioGenerator ()
	Default destructor.

Additional Inherited Members
Protected Attributes inherited from ScenarioPathGenerator
Date	today_
vector< Date >	dates_
Size	pathStep_
TimeGrid	timeGrid_
std::vector< QuantLib::ext::shared_ptr< Scenario > >	path_

Detailed Description

Scenario Generator using LGM model paths.

The generator expects

a calibrated model,
an associated multi path generator (i.e. providing paths for all factors of the model ordered as described in the model),
a scenario factory that provides building scenario class instances,
the configuration of market curves to be simulated
a simulation date grid that starts in the future, i.e. does not include today's date
the associated time grid including t=0

Member Function Documentation

std::vector< QuantLib::ext::shared_ptr< Scenario > > nextPath ( )

overridevirtual

void reset ( )

overridevirtual

Reset the generator so calls to next() return the first scenario.

This allows re-generation of scenarios if required.