ScenarioGenerationAnalyticImpl Class Reference

Inheritance diagram for ScenarioGenerationAnalyticImpl:

Public Types
enum class	Type { stress , sensitivity , exposure }

Public Member Functions
	ScenarioGenerationAnalyticImpl (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
virtual void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={}) override
void	setUpConfigurations () override
QuantLib::ext::shared_ptr< ScenarioGenerator >	scenarioGenerator ()
Public Member Functions inherited from Analytic::Impl
	Impl (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
void	initialise ()
const bool	initialised ()
virtual void	buildDependencies ()
virtual void	buildConfigurations ()
virtual QuantLib::ext::shared_ptr< ore::data::EngineFactory >	engineFactory ()
	build an engine factory
void	setLabel (const string &label)
const std::string &	label () const
void	setAnalytic (Analytic *analytic)
Analytic *	analytic () const
void	setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
bool	generateAdditionalResults () const
void	setGenerateAdditionalResults (const bool generateAdditionalResults)
bool	hasDependentAnalytic (const std::string &key)
template<class T>
QuantLib::ext::shared_ptr< T >	dependentAnalytic (const std::string &key) const
QuantLib::ext::shared_ptr< Analytic >	dependentAnalytic (const std::string &key) const
const std::map< std::string, std::pair< QuantLib::ext::shared_ptr< Analytic >, bool > > &	dependentAnalytics () const
void	addDependentAnalytic (const std::string &key, const QuantLib::ext::shared_ptr< Analytic > &analytic, const bool incDependentReports=false)
std::vector< QuantLib::ext::shared_ptr< Analytic > >	allDependentAnalytics () const
virtual std::vector< QuantLib::Date >	additionalMarketDates () const

Static Public Attributes
static constexpr const char *	LABEL = "SCENARIO_GENERATION"

Protected Member Functions
void	buildScenarioSimMarket ()
void	buildCrossAssetModel (const bool continueOnError, const bool allowModelFallbacks)
void	buildScenarioGenerator (const bool continueOnError, const bool allowModelFallbacks)

Protected Attributes
QuantLib::ext::shared_ptr< ScenarioSimMarket >	simMarket_
QuantLib::ext::shared_ptr< CrossAssetModel >	model_
QuantLib::ext::shared_ptr< ScenarioGenerator >	scenarioGenerator_
QuantLib::ext::shared_ptr< DateGrid >	grid_
Size	samples_ = 0
Protected Attributes inherited from Analytic::Impl
QuantLib::ext::shared_ptr< InputParameters >	inputs_
std::string	label_
	label for logging purposes primarily
std::map< std::string, std::pair< QuantLib::ext::shared_ptr< Analytic >, bool > >	dependentAnalytics_
	map to dependent analytics, holds a bool if we want to report intermeditate reports

Member Function Documentation

runAnalytic()

virtual void runAnalytic ( const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > & loader, const std::set< std::string > & runTypes = {} )

overridevirtual

Implements Analytic::Impl.

setUpConfigurations()

void setUpConfigurations ( )

overridevirtual

Reimplemented from Analytic::Impl.