ScenarioPathGenerator Class Reference

Scenario generator that generates an entire path. More...

#include <orea/scenario/scenariogenerator.hpp>

Inheritance diagram for ScenarioPathGenerator:

Public Member Functions
	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.
virtual void	reset ()=0
	Reset the generator so calls to next() return the first scenario.

Protected Member Functions
virtual std::vector< QuantLib::ext::shared_ptr< Scenario > >	nextPath ()=0

Protected Attributes
Date	today_
vector< Date >	dates_
Size	pathStep_
TimeGrid	timeGrid_
std::vector< QuantLib::ext::shared_ptr< Scenario > >	path_

Detailed Description

Scenario generator that generates an entire path.

Constructor & Destructor Documentation

ScenarioPathGenerator()

ScenarioPathGenerator	(	Date	today,
		const vector< Date > &	dates,
		TimeGrid	timeGrid )

Constructor.

Parameters

today	Today's date
dates	Future evaluation dates
timeGrid	Associated time grid

Member Function Documentation

next()

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

overridevirtual

Return the next scenario for the given date.

Implements ScenarioGenerator.