Reference manual - version orea_version
Public Member Functions | |
| virtual QuantLib::Size | getRequiredSize () const =0 |
| virtual 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 =0 |
| virtual 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 =0 |
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pure virtual |
Get required size (i.e. number of floats / reals) to store sensitivities in cube.
Implemented in CamSensitivityStorageManager, and SimmSensitivityStorageManager.
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pure virtual |
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.
Implemented in CamSensitivityStorageManager, and SimmSensitivityStorageManager.
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pure virtual |
Get the stored sensitivities for a netting set for T0 (dateIndex = sampleIndex = null) or the given date and sample. The return value varies for each concrete implementation.
Implemented in CamSensitivityStorageManager, and SimmSensitivityStorageManager.
