SimMarket Class Reference

Simulation Market. More...

#include <orea/simulation/simmarket.hpp>

Inheritance diagram for SimMarket:

Public Member Functions
	SimMarket (const bool handlePseudoCurrencies)
virtual void	update (const Date &d)
	Generate or retrieve market scenario, update market, notify termstructures and update fixings.
virtual void	preUpdate ()=0
	Observable settings depending on selected mode, before we update the market.
virtual void	updateDate (const Date &)=0
	Update to the given date.
virtual void	updateScenario (const Date &)=0
	Retrieve next market scenario and apply this, but don't update date.
virtual void	postUpdate (const Date &d, bool withFixings)=0
	Observable reset depending on selected mode, instrument updates.
virtual void	updateAsd (const Date &)=0
	Update aggregation scenario data.
Real	numeraire ()
	Return current numeraire value.
const std::string &	label ()
	Return current scenario label, if any.
virtual void	reset ()=0
	Reset sim market to initial state.
virtual const QuantLib::ext::shared_ptr< FixingManager > &	fixingManager () const =0
	Get the fixing manager.

Protected Attributes
Real	numeraire_
std::string	label_

Detailed Description

Simulation Market.

A Simulation Market is a MarketImpl which is used for pricing under scenarios. It has an update method which is used to generate or retrieve a new market scenario, to apply the scenario to its term structures and to notify all termstructures and instruments of this change so that the instruments are recalculated with the NPV call.

Member Function Documentation

preUpdate()

virtual void preUpdate ( )

pure virtual

Observable settings depending on selected mode, before we update the market.

Implemented in ScenarioSimMarket.

updateDate()

virtual void updateDate ( const Date & )

pure virtual

Update to the given date.

Implemented in ScenarioSimMarket.

updateScenario()

virtual void updateScenario ( const Date & )

pure virtual

Retrieve next market scenario and apply this, but don't update date.

Implemented in ScenarioSimMarket.

postUpdate()

virtual void postUpdate ( const Date & d, bool withFixings )

pure virtual

Observable reset depending on selected mode, instrument updates.

Implemented in ScenarioSimMarket.

updateAsd()

virtual void updateAsd ( const Date & )

pure virtual

Update aggregation scenario data.

Implemented in ScenarioSimMarket.

reset()

virtual void reset ( )

pure virtual

Reset sim market to initial state.

Implemented in ScenarioSimMarket.

fixingManager()

virtual const QuantLib::ext::shared_ptr< FixingManager > & fixingManager ( ) const

pure virtual

Get the fixing manager.

Implemented in ScenarioSimMarket.