CamSensitivityStorageManager Class Reference

Inheritance diagram for CamSensitivityStorageManager:

Public Member Functions
	CamSensitivityStorageManager (const std::vector< std::string > &camCurrencies, const QuantLib::Size nCurveSensitivities, const QuantLib::Size nVegaOptSensitivities, const QuantLib::Size nVegaUndSensitivities, const QuantLib::Size nFxVegaSensitivities, const QuantLib::Size firstCubeIndexToUse, const bool use2ndOrderSensitivities)
QuantLib::Size	getRequiredSize () const override
void	addSensitivities (QuantLib::ext::shared_ptr< ore::analytics::NPVCube > cube, const QuantLib::ext::shared_ptr< ore::data::Trade > &trade, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const QuantLib::Size dateIndex=QuantLib::Null< QuantLib::Size >(), const QuantLib::Size sampleIndex=QuantLib::Null< QuantLib::Size >()) const override
QuantLib::ext::any	getSensitivities (const QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &cube, const std::string &nettingSetId, const QuantLib::Size dateIndex=QuantLib::Null< QuantLib::Size >(), const QuantLib::Size sampleIndex=QuantLib::Null< QuantLib::Size >()) const override

Constructor & Destructor Documentation

CamSensitivityStorageManager()

CamSensitivityStorageManager ( const std::vector< std::string > & camCurrencies, const QuantLib::Size nCurveSensitivities, const QuantLib::Size nVegaOptSensitivities, const QuantLib::Size nVegaUndSensitivities, const QuantLib::Size nFxVegaSensitivities, const QuantLib::Size firstCubeIndexToUse, const bool use2ndOrderSensitivities )

explicit

Assuming IR-FX coverage only with LGM1F and FXBS model components, for this the cam currencies list is sufficient to store the sensitivities in a suitable layout

Member Function Documentation

getRequiredSize()

QuantLib::Size getRequiredSize ( ) const

overridevirtual

Get required size (i.e. number of floats / reals) to store sensitivities in cube.

Implements SensitivityStorageManager.

addSensitivities()

void addSensitivities ( QuantLib::ext::shared_ptr< ore::analytics::NPVCube > cube, const QuantLib::ext::shared_ptr< ore::data::Trade > & trade, const QuantLib::ext::shared_ptr< ore::data::Market > & market, const QuantLib::Size dateIndex = QuantLib::Null< QuantLib::Size >(), const QuantLib::Size sampleIndex = QuantLib::Null< QuantLib::Size >() ) const

overridevirtual

Add to the sensitivities for the given trade to the cube. The cube must contain an id matching the trade's netting set. The sensitivities are then added to this id. If dateIndex and sampleIndex are null, the T0 slice of the cube is populated, otherwise the cells for the given date and sample. The depth of the cube must at least be what getRequiredSize() returns.

Implements SensitivityStorageManager.

getSensitivities()

QuantLib::ext::any getSensitivities ( const QuantLib::ext::shared_ptr< ore::analytics::NPVCube > & cube, const std::string & nettingSetId, const QuantLib::Size dateIndex = QuantLib::Null< QuantLib::Size >(), const QuantLib::Size sampleIndex = QuantLib::Null< QuantLib::Size >() ) const

overridevirtual

Return delta, gamma, theta as tuple<Array, Matrix, Real> containing a delta vector, gamma matrix and theta scalar. The coordinates of the delta and gamma entries are

ccy_1 irDelta_1 ... irDelta_nCurveSensitivities

ccy_2 irDelta_1 ... irDelta_nCurveSensitivities

...

ccy_nCamCcys irDelta_1 ... irDelta_nCurveSensitivities

log(fx)-Delta_1 ... log(fx)-Delta_(nCamCcys-1)

theta

which means the number of components is nCurveSensitivities * nCamCurrencies + (nCamCurrencies - 1). All entries are in base ccy (= first ccy in camCurrencies), the fx deltas against base ccy.

Implements SensitivityStorageManager.