InMemoryCube stores the cube in memory using nested STL vectors. More...

#include <orea/cube/inmemorycube.hpp>

Inheritance diagram for InMemoryCubeBase< T >:

Collaboration diagram for InMemoryCubeBase< T >:

Public Member Functions
	InMemoryCubeBase (const Date &asof, const std::set< std::string > &ids, const vector< Date > &dates, Size samples, const T &t=T())
	default ctor More...

	InMemoryCubeBase ()
	default constructor More...

Size	numIds () const override
	Return the length of each dimension. More...

Size	numDates () const override

virtual Size	samples () const override

const std::map< std::string, Size > &	idsAndIndexes () const override
	Return a map of all ids and their position in the cube. More...

const std::vector< QuantLib::Date > &	dates () const override
	Get the vector of dates for this cube. More...

QuantLib::Date	asof () const override
	Return the asof date (T0 date) More...

Public Member Functions inherited from NPVCube
	NPVCube ()
	default ctor More...

	NPVCube (NPVCube &)=delete
	Do not allow cube copying. More...

NPVCube &	operator= (NPVCube const &)=delete

virtual	~NPVCube ()
	dtor More...

virtual Size	numIds () const =0
	Return the length of each dimension. More...

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. More...

const std::set< std::string >	ids () const
	Get a set of all ids in the cube. More...

virtual const std::vector< QuantLib::Date > &	dates () const =0
	Get the vector of dates for this cube. More...

virtual QuantLib::Date	asof () const =0
	Return the asof date (T0 date) More...

virtual Real	getT0 (Size id, Size depth=0) const =0
	Get a T0 value from the cube using index. More...

virtual Real	getT0 (const std::string &id, Size depth=0) const
	Get a T0 value from the cube using trade id. More...

virtual void	setT0 (Real value, Size id, Size depth=0)=0
	Set a value in the cube using index. More...

virtual void	setT0 (Real value, const std::string &id, Size depth=0)
	Set a value in the cube using trade id. More...

virtual Real	get (Size id, Size date, Size sample, Size depth=0) const =0
	Get a value from the cube using index. More...

virtual void	set (Real value, Size id, Size date, Size sample, Size depth=0)=0
	Set a value in the cube using index. More...

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. More...

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. More...

virtual void	remove (Size id)

virtual void	remove (Size id, Size sample)

Size	getTradeIndex (const std::string &id) const

Protected Member Functions
void	check (Size i, Size j, Size k, Size d) 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
QuantLib::Date	asof_

vector< QuantLib::Date >	dates_

Size	samples_

vector< T >	t0Data_

vector< vector< vector< T > > >	data_

std::map< std::string, Size >	idIdx_

Detailed Description

template<typename T>
class ore::analytics::InMemoryCubeBase< T >

InMemoryCube stores the cube in memory using nested STL vectors.

InMemoryCube stores the cube in memory using nested STL vectors, this class is a template to allow both single and double precision implementations.

The use of nested STL vectors is adds a small memory overhead (~ 1 to 2%)

Definition at line 50 of file inmemorycube.hpp.

Constructor & Destructor Documentation

◆ InMemoryCubeBase() [1/2]

InMemoryCubeBase	(	const Date &	asof,
		const std::set< std::string > &	ids,
		const vector< Date > &	dates,
		Size	samples,
		const T &	t = `T()`
	)

default ctor

Definition at line 53 of file inmemorycube.hpp.

        : asof_(asof), dates_(dates), samples_(samples), t0Data_(ids.size(), t),
          data_(ids.size(), vector<vector<T>>(dates.size(), vector<T>(samples, t))) {
        QL_REQUIRE(ids.size() > 0, "InMemoryCube::InMemoryCube no ids specified");
        QL_REQUIRE(dates.size() > 0, "InMemoryCube::InMemoryCube no dates specified");
        QL_REQUIRE(samples > 0, "InMemoryCube::InMemoryCube samples must be > 0");
        size_t pos = 0;
        for (const auto& id : ids) {
            idIdx_[id] = pos++;
        }
        
    }

Here is the call graph for this function:

◆ InMemoryCubeBase() [2/2]

InMemoryCubeBase ( )

default constructor

Definition at line 68 of file inmemorycube.hpp.

68{}

Member Function Documentation

◆ numIds()

Size numIds ( ) const

overridevirtual

Return the length of each dimension.

Implements NPVCube.

Definition at line 71 of file inmemorycube.hpp.

71{ return idIdx_.size(); }

Here is the caller graph for this function:

◆ numDates()

Size numDates ( ) const

overridevirtual

Implements NPVCube.

Definition at line 72 of file inmemorycube.hpp.

72{ return dates_.size(); }

Here is the caller graph for this function:

◆ samples()

virtual Size samples ( ) const

overridevirtual

Implements NPVCube.

Definition at line 73 of file inmemorycube.hpp.

73{ return samples_; }

Here is the caller graph for this function:

◆ idsAndIndexes()

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

overridevirtual

Return a map of all ids and their position in the cube.

Implements NPVCube.

Definition at line 76 of file inmemorycube.hpp.

76{ return idIdx_; }

◆ dates()

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

overridevirtual

Get the vector of dates for this cube.

Implements NPVCube.

Definition at line 78 of file inmemorycube.hpp.

78{ return dates_; }

Here is the caller graph for this function:

◆ asof()

QuantLib::Date asof ( ) const

overridevirtual

Return the asof date (T0 date)

Implements NPVCube.

Definition at line 81 of file inmemorycube.hpp.

81{ return asof_; }

◆ check()

void check	(	Size	i,
		Size	j,
		Size	k,
		Size	d
	)		const

protected

Definition at line 84 of file inmemorycube.hpp.

                                                     {
        QL_REQUIRE(i < numIds(), "Out of bounds on ids (i=" << i << ", numIds=" << numIds() << ")");
        QL_REQUIRE(j < numDates(), "Out of bounds on dates (j=" << j << ", numDates=" << numDates() << ")");
        QL_REQUIRE(k < samples(), "Out of bounds on samples (k=" << k << ", samples=" << samples() << ")");
        QL_REQUIRE(d < depth(), "Out of bounds on depth (d=" << d << ", depth=" << depth() << ")");
    }

Here is the call graph for this function:

Member Data Documentation

◆ asof_

QuantLib::Date asof_

protected

Definition at line 91 of file inmemorycube.hpp.

◆ dates_

vector<QuantLib::Date> dates_

protected

Definition at line 92 of file inmemorycube.hpp.

◆ samples_

Size samples_

protected

Definition at line 93 of file inmemorycube.hpp.

◆ t0Data_

vector<T> t0Data_

protected

Definition at line 94 of file inmemorycube.hpp.

◆ data_

vector<vector<vector<T> > > data_

protected

Definition at line 95 of file inmemorycube.hpp.

◆ idIdx_

std::map<std::string, Size> idIdx_

protected

Definition at line 97 of file inmemorycube.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ InMemoryCubeBase() [1/2]

◆ InMemoryCubeBase() [2/2]

Member Function Documentation

◆ numIds()

◆ numDates()

◆ samples()

◆ idsAndIndexes()

◆ dates()

◆ asof()

◆ check()

Member Data Documentation

◆ asof_

◆ dates_

◆ samples_

◆ t0Data_

◆ data_

◆ idIdx_