CvaSensitivityCubeStream Class Reference

#include <orea/engine/cvasensitivitycubestream.hpp>

Public Member Functions
	CvaSensitivityCubeStream (const QuantLib::ext::shared_ptr< ore::analytics::NPVSensiCube > &cube, const std::vector< CvaRiskFactorKey > &descriptions, const std::set< std::string > &nettingSetIds, const std::vector< std::pair< ore::analytics::ShiftType, QuantLib::Real > > &shifts, const std::vector< QuantLib::Period > &cdsGrid, const std::map< std::string, std::vector< QuantLib::Real > > &cdsSensis, std::pair< ore::analytics::ShiftType, QuantLib::Real > &cdsShift, const std::map< std::string, std::string > &counterpartyMap, const std::string &currency)
CvaSensitivityRecord	next ()
void	reset ()
	Resets the stream so that SensitivityRecord objects can be streamed again.

Detailed Description

Class for streaming SensitivityRecords from a SensitivityCube

Constructor & Destructor Documentation

CvaSensitivityCubeStream()

CvaSensitivityCubeStream	(	const QuantLib::ext::shared_ptr< ore::analytics::NPVSensiCube > &	cube,
		const std::vector< CvaRiskFactorKey > &	descriptions,
		const std::set< std::string > &	nettingSetIds,
		const std::vector< std::pair< ore::analytics::ShiftType, QuantLib::Real > > &	shifts,
		const std::vector< QuantLib::Period > &	cdsGrid,
		const std::map< std::string, std::vector< QuantLib::Real > > &	cdsSensis,
		std::pair< ore::analytics::ShiftType, QuantLib::Real > &	cdsShift,
		const std::map< std::string, std::string > &	counterpartyMap,
		const std::string &	currency )

Constructor providing the sensitivity cube and currency of the sensitivities

Member Function Documentation

next()

CvaSensitivityRecord next

(

)

Returns the next SensitivityRecord in the stream

Warning

the cube must not change during successive calls to next()!