ScenarioGeneratorData Class Reference

Scenario Generator description. More...

#include <orea/scenario/scenariogeneratordata.hpp>

Inheritance diagram for ScenarioGeneratorData:

Public Member Functions
	ScenarioGeneratorData (QuantLib::ext::shared_ptr< DateGrid > dateGrid, SequenceType sequenceType, long seed, Size samples, SobolBrownianGenerator::Ordering ordering=SobolBrownianGenerator::Steps, SobolRsg::DirectionIntegers directionIntegers=SobolRsg::JoeKuoD7, bool withCloseOutLag=false, bool withMporStickyDate=false, Size timeStepsPerYear=Null< Size >())
	Constructor.
void	clear ()
virtual void	fromXML (XMLNode *node) override
	Load members from XML.
virtual XMLNode *	toXML (XMLDocument &doc) const override
	Write members to XML.
Inspectors
QuantLib::ext::shared_ptr< DateGrid >	getGrid () const
SequenceType	sequenceType () const
long	seed () const
Size	samples () const
SobolBrownianGenerator::Ordering	ordering () const
SobolRsg::DirectionIntegers	directionIntegers () const
bool	withCloseOutLag () const
bool	withMporStickyDate () const
Period	closeOutLag () const
Size	timeStepsPerYear () const

Setters
void	setGrid (QuantLib::ext::shared_ptr< DateGrid > grid)
SequenceType &	sequenceType ()
long &	seed ()
Size &	samples ()
SobolBrownianGenerator::Ordering &	ordering ()
SobolRsg::DirectionIntegers &	directionIntegers ()
bool &	withCloseOutLag ()
bool &	withMporStickyDate ()
Period &	closeOutLag ()
Size &	timeStepsPerYear ()

Detailed Description

Scenario Generator description.

ScenarioGeneratorData wraps the specification of how to build a scenario generator from a given cross asset model and covers the choice and configuration of

• state process
• simulation date grid
• multipath generator
• scenario factory
• fixing method