CubeWriter Class Reference

Write an NPV cube to a human readable text file. More...

#include <orea/cube/cubewriter.hpp>

Collaboration diagram for CubeWriter:

Public Member Functions
	CubeWriter (const std::string &filename)
	ctor More...
const std::string &	filename ()
	Return the filename this writer is writing too. More...
void	write (const QuantLib::ext::shared_ptr< NPVCube > &cube, const std::map< std::string, std::string > &nettingSetMap, bool append=false)
	Write a cube out to file. More...

Private Attributes
std::string	filename_

Detailed Description

Write an NPV cube to a human readable text file.

Definition at line 37 of file cubewriter.hpp.

Constructor & Destructor Documentation

CubeWriter()

CubeWriter

(

const std::string &

filename

)

ctor

Definition at line 31 of file cubewriter.cpp.

: filename_(filename) {}

Member Function Documentation

filename()

const std::string & filename

(

)

Return the filename this writer is writing too.

Definition at line 43 of file cubewriter.hpp.

{ return filename_; }

write()

void write	(	const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		const std::map< std::string, std::string > &	nettingSetMap,
		bool	append = false
	)

Write a cube out to file.

Definition at line 33 of file cubewriter.cpp.

                                    {
 
    // Convert dates into strings
    vector<string> dateStrings(cube->numDates());
    for (Size i = 0; i < cube->numDates(); ++i) {
        std::ostringstream oss;
        oss << QuantLib::io::iso_date(cube->dates()[i]);
        dateStrings[i] = oss.str();
    }
    std::ostringstream oss;
    oss << QuantLib::io::iso_date(cube->asof());
    string asofString = oss.str();
 
    const std::map<string, Size>& ids = cube->idsAndIndexes();
 
    FILE* fp = fopen(filename_.c_str(), append ? "a" : "w");
    QL_REQUIRE(fp, "error opening file " << filename_);
    if (!append)
        fprintf(fp, "Id,NettingSet,DateIndex,Date,Sample,Depth,Value\n");
    const char* fmt = "%s,%s,%lu,%s,%lu,%lu,%.4f\n";
 
    // Get netting Set Ids (or "" if not there)
    vector<const char*> nettingSetIds(ids.size());
    // T0
 
    for (const auto& [id,idx] : ids) {
        if (nettingSetMap.find(id) != nettingSetMap.end())
            nettingSetIds[idx] = nettingSetMap.at(id).c_str();
        else
            nettingSetIds[idx] = "";
 
        fprintf(fp, fmt, id.c_str(), nettingSetIds[idx], static_cast<Size>(0), asofString.c_str(),
                static_cast<Size>(0), static_cast<Size>(0), cube->getT0(idx));        
    }
    // Cube
    
    for (const auto& [id, idx] : ids) {
        for (Size j = 0; j < cube->numDates(); j++) {
            for (Size k = 0; k < cube->samples(); k++) {
                for (Size l = 0; l < cube->depth(); l++) {
                    fprintf(fp, fmt, id.c_str(), nettingSetIds[idx], j + 1, dateStrings[j].c_str(), k + 1, l,
                            cube->get(idx, j, k, l));
                }
            }
        }
    }
    fclose(fp);
}

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Member Data Documentation

filename_

std::string filename_

private

Definition at line 50 of file cubewriter.hpp.