SensiCube Class Reference

SensiCube stores only npvs not equal to the base npvs. More...

#include <orea/cube/sensicube.hpp>

Inheritance diagram for SensiCube:

Public Member Functions
	SensiCube (const std::set< std::string > &ids, const QuantLib::Date &asof, QuantLib::Size samples)
QuantLib::Size	numIds () const override
	Return the length of each dimension.
QuantLib::Size	samples () const override
const std::map< std::string, Size > &	idsAndIndexes () const override
	Get the vector of ids for this cube.
const std::vector< QuantLib::Date > &	dates () const override
	Get the vector of dates for this cube.
QuantLib::Date	asof () const override
	Return the asof date (T0 date).
Real	getT0 (Size i, Size) const override
	Get a T0 value from the cube.
void	setT0 (Real value, Size i, Size) override
	Set a value in the cube.
Real	get (Size i, Size j, Size k, Size) const override
	Get a value from the cube.
void	set (Real value, Size i, Size j, Size k, Size) override
	Set a value in the cube.
void	removeT0 (Size i) override
void	remove (Size i, Size k, bool useT0) override
std::map< QuantLib::Size, QuantLib::Real >	getTradeNPVs (QuantLib::Size i) const override
std::set< QuantLib::Size >	relevantScenarios () const override
bool	usesDoublePrecision () const override
Public Member Functions inherited from NPVSensiCube
QuantLib::Size	numDates () const override
	Number of dates in the NPVSensiCube is exactly one i.e. the as of date.
QuantLib::Size	depth () const override
	The depth in the NPVSensiCube is exactly one.
Real	get (QuantLib::Size id, QuantLib::Size sample) const
	Convenience method to get a value from the cube using id and sample only.
Real	get (const std::string &id, QuantLib::Size sample) const
	Convenience method to get a value from the cube using id and sample only.
void	set (QuantLib::Real value, QuantLib::Size id, QuantLib::Size sample)
	Convenience method to set a value in the cube using id and sample only.
void	set (QuantLib::Real value, const std::string &id, QuantLib::Size sample)
	Convenience method to set a value in the cube using id and sample only.
Size	getTradeIndex (const std::string &tradeId) const
	Return the index of the trade in the cube.
virtual std::map< QuantLib::Size, QuantLib::Real >	getTradeNPVs (Size tradeIdx) const =0
std::map< QuantLib::Size, QuantLib::Real >	getTradeNPVs (const std::string &tradeId) const
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.
Public Member Functions inherited from NPVCube
	NPVCube ()
	default ctor
	NPVCube (NPVCube &)=delete
	Do not allow cube copying.
NPVCube &	operator= (NPVCube const &)=delete
virtual	~NPVCube ()
	dtor
const std::set< std::string >	ids () const
	Get a set of all ids in the cube.
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, const std::string &id, Size depth=0)
	Set a value in the cube using trade id.
Size	getTradeIndex (const std::string &id) const
Size	getDateIndex (const QuantLib::Date &date) const

Protected Member Functions
void	check (QuantLib::Size i, QuantLib::Size j, QuantLib::Size k) const
Protected Member Functions inherited from NPVCube
virtual Size	index (const std::string &id) const
virtual Size	index (const QuantLib::Date &date) const

Protected Attributes
std::vector< QuantLib::Real >	t0Data_
std::vector< std::map< QuantLib::Size, QuantLib::Real > >	tradeNPVs_
std::set< QuantLib::Size >	relevantScenarios_

Detailed Description

SensiCube stores only npvs not equal to the base npvs.

Member Function Documentation

numIds()

QuantLib::Size numIds ( ) const

overridevirtual

Return the length of each dimension.

Implements NPVCube.

samples()

QuantLib::Size samples ( ) const

overridevirtual

Implements NPVCube.

idsAndIndexes()

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

overridevirtual

Get the vector of ids for this cube.

Implements NPVCube.

dates()

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

overridevirtual

Get the vector of dates for this cube.

Implements NPVCube.

asof()

QuantLib::Date asof ( ) const

overridevirtual

Return the asof date (T0 date).

Implements NPVCube.

getT0()

Real getT0 ( Size i, Size  ) const

overridevirtual

Get a T0 value from the cube.

Implements NPVCube.

setT0()

void setT0 ( Real value, Size i, Size  )

overridevirtual

Set a value in the cube.

Implements NPVCube.

get()

Real get ( Size i, Size j, Size k, Size  ) const

overridevirtual

Get a value from the cube.

Reimplemented from NPVSensiCube.

set()

void set ( Real value, Size i, Size j, Size k, Size  )

overridevirtual

Set a value in the cube.

Reimplemented from NPVSensiCube.

removeT0()

void removeT0 ( Size id )

overridevirtual

Remove t0 values for a given id

Reimplemented from NPVCube.

remove()

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

overridevirtual

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 from NPVCube.

relevantScenarios()

std::set< QuantLib::Size > relevantScenarios ( ) const

overridevirtual

Return the set of scenario indices with non-zero result

Implements NPVSensiCube.

usesDoublePrecision()

bool usesDoublePrecision ( ) const

overridevirtual

Implements NPVCube.