ShiftScenarioLoaderGenerator Class Reference

Inheritance diagram for ShiftScenarioLoaderGenerator:

Public Member Functions
	ShiftScenarioLoaderGenerator (const QuantLib::ext::shared_ptr< ScenarioReader > &scenarioReader, const QuantLib::ext::shared_ptr< Scenario > &baseScenario, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::weak_ptr< ScenarioSimMarket > &simMarket)
const QuantLib::ext::shared_ptr< ScenarioReader > &	scenarioReader () const
Public Member Functions inherited from ShiftScenarioGenerator
	ShiftScenarioGenerator (const QuantLib::ext::shared_ptr< Scenario > &baseScenario, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::weak_ptr< ScenarioSimMarket > &simMarket)
	Constructor.
	~ShiftScenarioGenerator ()
	Default destructor.
QuantLib::ext::shared_ptr< Scenario >	next (const Date &d) override
	Scenario Generator interface.
void	reset () override
	Reset the generator so calls to next() return the first scenario.
Size	samples ()
	Inspectors.
const QuantLib::ext::shared_ptr< Scenario > &	baseScenario ()
	Return the base scenario, i.e. cached initial values of all relevant market points.
const std::vector< QuantLib::ext::shared_ptr< Scenario > > &	scenarios ()
	Return vector of sensitivity scenarios, scenario 0 is the base scenario.
std::vector< ScenarioDescription >	scenarioDescriptions ()
	Return vector of scenario descriptions.
const std::map< RiskFactorKey, std::string > &	keyToFactor ()
const std::map< std::string, RiskFactorKey > &	factorToKey ()
	Return revers map of factors to RiskFactorKeys.
void	applyShift (Size j, Real shiftSize, bool up, ShiftType type, const vector< Time > &shiftTimes, const vector< Real > &values, const vector< Time > &times, vector< Real > &shiftedValues, bool initialise)
	Apply 1d triangular shift to 1d data such as yield curves, public to allow test suite access.
void	applyShift (Size j, Size k, Real shiftSize, bool up, ShiftType type, const vector< Time > &shiftX, const vector< Time > &shiftY, const vector< Time > &dataX, const vector< Time > &dataY, const vector< vector< Real > > &data, vector< vector< Real > > &shiftedData, bool initialise)
	Apply 2d shift to 2d matrix such as swaption volatilities, public to allow test suite access.
QuantLib::ext::shared_ptr< Scenario >	baseScenario () const
	return the base scenario
Public Member Functions inherited from ScenarioGenerator
virtual	~ScenarioGenerator ()
	Default destructor.

Additional Inherited Members
Protected Attributes inherited from ShiftScenarioGenerator
QuantLib::ext::shared_ptr< Scenario >	baseScenario_
const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	simMarketData_
const QuantLib::ext::weak_ptr< ScenarioSimMarket >	simMarket_
std::vector< QuantLib::ext::shared_ptr< Scenario > >	scenarios_
Size	counter_
std::vector< ScenarioDescription >	scenarioDescriptions_
std::map< RiskFactorKey, std::string >	keyToFactor_
std::map< std::string, RiskFactorKey >	factorToKey_