historicalscenariogenerator.hpp File Reference

scenario generator that builds from historical shifts More...

#include <boost/make_shared.hpp>
#include <ored/utilities/timeperiod.hpp>
#include <orea/scenario/scenariofactory.hpp>
#include <orea/scenario/scenariogenerator.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/scenario/historicalscenarioloader.hpp>
#include <orea/scenario/historicalscenarioreader.hpp>
#include <ored/marketdata/adjustmentfactors.hpp>
#include <ql/math/randomnumbers/rngtraits.hpp>

Classes
class	ReturnConfiguration
	Return type for historical scenario generation (absolute, relative, log) More...
class	HistoricalScenarioGenerator
	Historical Scenario Generator. More...
struct	HistoricalScenarioGenerator::HistoricalScenarioCalculationDetails
class	HistoricalScenarioGeneratorRandom
	Historical scenario generator generating random scenarios, for testing purposes. More...
class	HistoricalScenarioGeneratorTransform
	Historical scenario generator transform. More...
class	HistoricalScenarioGeneratorWithFilteredDates

Namespaces
	ore
	ore::analytics

Functions
std::ostream &	operator<< (std::ostream &out, const ReturnConfiguration::ReturnType t)
QuantLib::ext::shared_ptr< HistoricalScenarioGenerator >	buildHistoricalScenarioGenerator (const QuantLib::ext::shared_ptr< HistoricalScenarioReader > &hsr, const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &adjFactors, const TimePeriod &period, Calendar calendar, Size mporDays, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simParams, const QuantLib::ext::shared_ptr< TodaysMarketParameters > &marketParam, const bool overlapping=true)
QuantLib::ext::shared_ptr< HistoricalScenarioGenerator >	buildHistoricalScenarioGenerator (const QuantLib::ext::shared_ptr< HistoricalScenarioReader > &hsr, const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &adjFactors, const std::set< QuantLib::Date > &dates, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simParams, const QuantLib::ext::shared_ptr< TodaysMarketParameters > &marketParam)

Detailed Description

scenario generator that builds from historical shifts