NPVCube Class Reference

NPV Cube class stores both future and current NPV values. More...

#include <orea/cube/npvcube.hpp>

Inheritance diagram for NPVCube:

Public Member Functions
	NPVCube ()
	default ctor
	NPVCube (NPVCube &)=delete
	Do not allow cube copying.
NPVCube &	operator= (NPVCube const &)=delete
virtual	~NPVCube ()
	dtor
virtual Size	numIds () const =0
	Return the length of each dimension.
virtual Size	numDates () const =0
virtual Size	samples () const =0
virtual Size	depth () const =0
virtual const std::map< std::string, Size > &	idsAndIndexes () const =0
	Get a map of id and their index position in this cube.
const std::set< std::string >	ids () const
	Get a set of all ids in the cube.
virtual const std::vector< QuantLib::Date > &	dates () const =0
	Get the vector of dates for this cube.
virtual QuantLib::Date	asof () const =0
	Return the asof date (T0 date).
virtual Real	getT0 (Size id, Size depth=0) const =0
	Get a T0 value from the cube using index.
virtual Real	getT0 (const std::string &id, Size depth=0) const
	Get a T0 value from the cube using trade id.
virtual void	setT0 (Real value, Size id, Size depth=0)=0
	Set a value in the cube using index.
virtual void	setT0 (Real value, const std::string &id, Size depth=0)
	Set a value in the cube using trade id.
virtual Real	get (Size id, Size date, Size sample, Size depth=0) const =0
	Get a value from the cube using index.
virtual void	set (Real value, Size id, Size date, Size sample, Size depth=0)=0
	Set a value in the cube using index.
virtual Real	get (const std::string &id, const QuantLib::Date &date, Size sample, Size depth=0) const
	Get a value from the cube using trade id and date.
virtual void	set (Real value, const std::string &id, const QuantLib::Date &date, Size sample, Size depth=0)
	Set a value in the cube using trade id and date.
virtual void	removeT0 (Size id)
virtual void	remove (Size id, Size sample, bool setToT0Value)
Size	getTradeIndex (const std::string &id) const
Size	getDateIndex (const QuantLib::Date &date) const
virtual bool	usesDoublePrecision () const =0

Protected Member Functions
virtual Size	index (const std::string &id) const
virtual Size	index (const QuantLib::Date &date) const

Detailed Description

NPV Cube class stores both future and current NPV values.

The cube class stores future NPV values in a 4-D array.

This abstract base class is just used for the storage of a cube. This class also stores the tradeIds, dates and vector of T0 NPVs

The values in the cube must be set according to the following rules to ensure consistent behavior:

• T0 values need to be set first using setT0(), in arbitrary order for (id, date, sample, depth), not all possible tuples have to be covered
• after that the other values can be set using set(), again in arbitrary order for (id, date, sample, depth) and again not all possible tuples have to be covered
• for each tuple (id, date, sample, depth) setT0() and set() should only be called once

Member Function Documentation

numIds()

virtual Size numIds ( ) const

pure virtual

Return the length of each dimension.

Implemented in InMemoryCubeOpt< T >, InMemoryCubeOpt< double >, InMemoryCubeOpt< float >, JaggedCube< T >, JaggedCube< double >, JaggedCube< float >, JointNPVCube, JointNPVSensiCube, SensiCube, SparseNpvCube< T >, SparseNpvCube< float >, and SparseNpvCube< Real >.

numDates()

virtual Size numDates ( ) const

pure virtual

Implemented in NPVSensiCube.

depth()

virtual Size depth ( ) const

pure virtual

Implemented in NPVSensiCube.

idsAndIndexes()

virtual const std::map< std::string, Size > & idsAndIndexes ( ) const

pure virtual

Get a map of id and their index position in this cube.

Implemented in InMemoryCubeOpt< T >, InMemoryCubeOpt< double >, InMemoryCubeOpt< float >, JaggedCube< T >, JaggedCube< double >, JaggedCube< float >, JointNPVCube, JointNPVSensiCube, SensiCube, SparseNpvCube< T >, SparseNpvCube< float >, and SparseNpvCube< Real >.

dates()

virtual const std::vector< QuantLib::Date > & dates ( ) const

pure virtual

Get the vector of dates for this cube.

Implemented in InMemoryCubeOpt< T >, InMemoryCubeOpt< double >, InMemoryCubeOpt< float >, JaggedCube< T >, JaggedCube< double >, JaggedCube< float >, JointNPVCube, JointNPVSensiCube, SensiCube, SparseNpvCube< T >, SparseNpvCube< float >, and SparseNpvCube< Real >.

asof()

virtual QuantLib::Date asof ( ) const

pure virtual

Return the asof date (T0 date).

Implemented in InMemoryCubeOpt< T >, InMemoryCubeOpt< double >, InMemoryCubeOpt< float >, JaggedCube< T >, JaggedCube< double >, JaggedCube< float >, JointNPVCube, JointNPVSensiCube, SensiCube, SparseNpvCube< T >, SparseNpvCube< float >, and SparseNpvCube< Real >.

getT0()

virtual Real getT0 ( Size id, Size depth = 0 ) const

pure virtual

Get a T0 value from the cube using index.

Implemented in InMemoryCubeOpt< T >, InMemoryCubeOpt< double >, InMemoryCubeOpt< float >, JaggedCube< T >, JaggedCube< double >, JaggedCube< float >, JointNPVCube, JointNPVSensiCube, SensiCube, SparseNpvCube< T >, SparseNpvCube< float >, and SparseNpvCube< Real >.

setT0()

virtual void setT0 ( Real value, Size id, Size depth = 0 )

pure virtual

Set a value in the cube using index.

Implemented in InMemoryCubeOpt< T >, InMemoryCubeOpt< double >, InMemoryCubeOpt< float >, JaggedCube< T >, JaggedCube< double >, JaggedCube< float >, JointNPVCube, JointNPVSensiCube, SensiCube, SparseNpvCube< T >, SparseNpvCube< float >, and SparseNpvCube< Real >.

get() [1/2]

virtual Real get ( Size id, Size date, Size sample, Size depth = 0 ) const

pure virtual

Get a value from the cube using index.

Implemented in InMemoryCubeOpt< T >, InMemoryCubeOpt< double >, InMemoryCubeOpt< float >, JaggedCube< T >, JaggedCube< double >, JaggedCube< float >, JointNPVCube, JointNPVSensiCube, NPVSensiCube, SensiCube, SparseNpvCube< T >, SparseNpvCube< float >, and SparseNpvCube< Real >.

set() [1/2]

virtual void set ( Real value, Size id, Size date, Size sample, Size depth = 0 )

pure virtual

Set a value in the cube using index.

Implemented in InMemoryCubeOpt< T >, InMemoryCubeOpt< double >, InMemoryCubeOpt< float >, JaggedCube< T >, JaggedCube< double >, JaggedCube< float >, JointNPVCube, JointNPVSensiCube, NPVSensiCube, SensiCube, SparseNpvCube< T >, SparseNpvCube< float >, and SparseNpvCube< Real >.

get() [2/2]

virtual Real get ( const std::string & id, const QuantLib::Date & date, Size sample, Size depth = 0 ) const

virtual

Get a value from the cube using trade id and date.

Reimplemented in NPVSensiCube.

set() [2/2]

virtual void set ( Real value, const std::string & id, const QuantLib::Date & date, Size sample, Size depth = 0 )

virtual

Set a value in the cube using trade id and date.

Reimplemented in NPVSensiCube.

removeT0()

void removeT0 ( Size id )

virtual

Remove t0 values for a given id

Reimplemented in JointNPVSensiCube, and SensiCube.

remove()

void remove ( Size id, Size sample, bool setToT0Value )

virtual

Set non-t0 value to either 0 or the t0 value for a given id and sample. If sample is null, all samples are removed

Reimplemented in JointNPVSensiCube, and SensiCube.