JointNPVCube Class Reference

#include <orea/cube/jointnpvcube.hpp>

Inheritance diagram for JointNPVCube:

Collaboration diagram for JointNPVCube:

Public Member Functions
	JointNPVCube (const QuantLib::ext::shared_ptr< NPVCube > &cube1, const QuantLib::ext::shared_ptr< NPVCube > &cube2, const std::set< std::string > &ids={}, const bool requireUniqueIds=true, const std::function< Real(Real a, Real x)> &accumulator=[](Real a, Real x) { return a+x;}, const Real accumulatorInit=0.0)
	JointNPVCube (const std::vector< QuantLib::ext::shared_ptr< NPVCube > > &cubes, const std::set< std::string > &ids={}, const bool requireUniqueIds=true, const std::function< Real(Real a, Real x)> &accumulator=[](Real a, Real x) { return a+x;}, const Real accumulatorInit=0.0)
Size	numIds () const override
	Return the length of each dimension. More...
Size	numDates () const override
Size	samples () const override
Size	depth () const override
const std::map< std::string, Size > &	idsAndIndexes () const override
	Get a map of id and their index position in this 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...
Real	getT0 (Size id, Size depth=0) const override
	Get a T0 value from the cube using index. More...
void	setT0 (Real value, Size id, Size depth=0) override
	Set a value in the cube using index. More...
Real	get (Size id, Size date, Size sample, Size depth=0) const override
	Get a value from the cube using index. More...
void	set (Real value, Size id, Size date, Size sample, Size depth=0) override
	Set a value in the cube using index. 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

Private Member Functions
std::set< std::pair< QuantLib::ext::shared_ptr< NPVCube >, Size > >	cubeAndId (Size id) const

Private Attributes
const std::vector< QuantLib::ext::shared_ptr< NPVCube > >	cubes_
const std::function< Real(Real a, Real x)>	accumulator_
const Real	accumulatorInit_
std::map< std::string, Size >	idIdx_
std::vector< std::set< std::pair< QuantLib::ext::shared_ptr< NPVCube >, Size > > >	cubeAndId_

Additional Inherited Members
Protected Member Functions inherited from NPVCube
virtual Size	index (const std::string &id) const
virtual Size	index (const QuantLib::Date &date) const

Detailed Description

Definition at line 38 of file jointnpvcube.hpp.

Constructor & Destructor Documentation

JointNPVCube() [1/2]

JointNPVCube	(	const QuantLib::ext::shared_ptr< NPVCube > &	cube1,
		const QuantLib::ext::shared_ptr< NPVCube > &	cube2,
		const std::set< std::string > &	ids = {},
		const bool	requireUniqueIds = true,
		const std::function< Real(Real a, Real x)> &	accumulator = [](Real a, Real x) { return a + x; },
		const Real	accumulatorInit = 0.0
	)

ctor for two input cubes

Definition at line 29 of file jointnpvcube.cpp.

    : JointNPVCube({cube1, cube2}, ids, requireUniqueIds, accumulator, accumulatorInit) {}

JointNPVCube() [2/2]

JointNPVCube	(	const std::vector< QuantLib::ext::shared_ptr< NPVCube > > &	cubes,
		const std::set< std::string > &	ids = {},
		const bool	requireUniqueIds = true,
		const std::function< Real(Real a, Real x)> &	accumulator = [](Real a, Real x) { return a + x; },
		const Real	accumulatorInit = 0.0
	)

ctor for n input cubes

• If no ids are given, the ids in the input cubes define the ids in the resulting cube. The order is lexicographic. If ids are given they define the ids in the output cube.
• If requireUniqueIds is true, there must be no duplicate ids in the input cubes. If requireUniqueIds is false, they may be duplicate ids in which case get() will return an aggregate of the entries in the input cubes over the matching ids using the accumulator function and accumulator initialization.
• If one id in the result cube corresponds to several input cubes, it is not allowed to call set on this id, this will result in an exception.

Definition at line 34 of file jointnpvcube.cpp.

    : NPVCube(), cubes_(cubes), accumulator_(accumulator), accumulatorInit_(accumulatorInit) {
 
    // check we have at least one input cube
 
    QL_REQUIRE(!cubes.empty(), "JointNPVCube: at least one cube must be given");
 
    // check that the dimensions are consistent
 
    for (Size i = 1; i < cubes.size(); ++i) {
        QL_REQUIRE(cubes_[i]->numDates() == cubes_[0]->numDates(),
                   "JointNPVCube: numDates do not match for cube #"
                       << i << " (" << cubes[i]->numDates() << " vs. cube #0 (" << cubes_[0]->numDates() << ")");
        QL_REQUIRE(cubes_[i]->samples() == cubes_[0]->samples(),
                   "JointNPVCube: samples do not match for cube #" << i << " (" << cubes_[i]->samples()
                                                                   << " vs. cube #0 (" << cubes_[0]->samples() << ")");
        QL_REQUIRE(cubes_[i]->depth() == cubes_[0]->depth(), "JointNPVCube: depth do not match for cube #"
                                                                 << i << " (" << cubes_[i]->depth() << " vs. cube #0 ("
                                                                 << cubes[0]->depth() << ")");
    }
 
    std::set<std::string> allIds;
    if (!ids.empty()) {
        // if ids are given, these define the ids in the result cube
        allIds = ids;
    } else {
        // otherwise the ids in the source cubes define the ids in the result cube
        for (Size i = 0; i < cubes_.size(); ++i) {
            for (auto const& [id, ignored] : cubes_[i]->idsAndIndexes()) {
                const auto& [ignored2, success] = allIds.insert(id);
                QL_REQUIRE(!requireUniqueIds || success,
                           "JointNPVSensiCube: input cubes have duplicate id '" << id << "', this is not allowed");
            }
        }
    }
 
    // build list of result cube ids
    Size pos = 0;
    for (const auto& id : allIds) {
        idIdx_[id] = pos++;
    }
 
    // populate cubeAndId_ vector which is the basis for the lookup
    cubeAndId_.resize(idIdx_.size());
    for (const auto& [id, jointPos] : idIdx_) {
        for (auto const& c : cubes_) {
            auto searchIt = c->idsAndIndexes().find(id);
            if (searchIt != c->idsAndIndexes().end()) {
                cubeAndId_[jointPos].insert(std::make_pair(c, searchIt->second));
            }
        }
        // internal consistency checks
        QL_REQUIRE(cubeAndId_[jointPos].size() >= 1,
                   "JointNPVCube: internal error, got no input cubes for id '" << id << "'");
        QL_REQUIRE(!requireUniqueIds || cubeAndId_[jointPos].size() == 1,
                   "JointNPVCube: internal error, got more than one input cube for id '"
                       << id << "', but unique input ids qre required");
    }
}

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Member Function Documentation

numIds()

Size numIds ( ) const

overridevirtual

Return the length of each dimension.

Implements NPVCube.

Definition at line 96 of file jointnpvcube.cpp.

{ return idIdx_.size(); }

numDates()

Size numDates ( ) const

overridevirtual

Implements NPVCube.

Definition at line 98 of file jointnpvcube.cpp.

{ return cubes_[0]->numDates(); }

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samples()

Size samples ( ) const

overridevirtual

Implements NPVCube.

Definition at line 100 of file jointnpvcube.cpp.

{ return cubes_[0]->samples(); }

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depth()

Size depth ( ) const

overridevirtual

Implements NPVCube.

Definition at line 102 of file jointnpvcube.cpp.

{ return cubes_[0]->depth(); }

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idsAndIndexes()

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

overridevirtual

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

Implements NPVCube.

Definition at line 104 of file jointnpvcube.cpp.

{ return idIdx_; }

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dates()

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

overridevirtual

Get the vector of dates for this cube.

Implements NPVCube.

Definition at line 106 of file jointnpvcube.cpp.

{ return cubes_[0]->dates(); }

asof()

QuantLib::Date asof ( ) const

overridevirtual

Return the asof date (T0 date)

Implements NPVCube.

Definition at line 108 of file jointnpvcube.cpp.

{ return cubes_[0]->asof(); }

getT0()

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

overridevirtual

Get a T0 value from the cube using index.

Implements NPVCube.

Definition at line 116 of file jointnpvcube.cpp.

                                                  {
    auto cids = cubeAndId(id);
    if (cids.size() == 1)
        return cids.begin()->first->getT0(cids.begin()->second, depth);
    Real tmp = accumulatorInit_;
    for (auto const& p : cids)
        tmp = accumulator_(tmp, p.first->getT0(p.second, depth));
    return tmp;
}

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setT0()

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

overridevirtual

Set a value in the cube using index.

Implements NPVCube.

Definition at line 126 of file jointnpvcube.cpp.

                                                        {
    auto c = cubeAndId(id);
    QL_REQUIRE(c.size() == 1,
               "JointNPVCube::setT0(): not allowed, because id '" << id << "' occurs in more than one input cube");
    (*c.begin()).first->setT0(value, (*c.begin()).second, depth);
}

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get()

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

overridevirtual

Get a value from the cube using index.

Implements NPVCube.

Definition at line 133 of file jointnpvcube.cpp.

                                                                        {
    auto cids = cubeAndId(id);
    if (cids.size() == 1)
        return cids.begin()->first->get(cids.begin()->second, date, sample, depth);
    Real tmp = accumulatorInit_;
    for (auto const& p : cids)
        tmp = accumulator_(tmp, p.first->get(p.second, date, sample, depth));
    return tmp;
}

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set()

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

overridevirtual

Set a value in the cube using index.

Implements NPVCube.

Definition at line 143 of file jointnpvcube.cpp.

                                                                              {
    auto c = cubeAndId(id);
    QL_REQUIRE(c.size() == 1,
               "JointNPVCube::set(): not allowed, because id '" << id << "' occurs in more than one input cube");
    (*c.begin()).first->set(value, (*c.begin()).second, date, sample, depth);
}

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cubeAndId()

std::set< std::pair< QuantLib::ext::shared_ptr< NPVCube >, Size > > cubeAndId ( Size  id ) const

private

Definition at line 110 of file jointnpvcube.cpp.

                                                                                           {
    QL_REQUIRE(id < cubeAndId_.size(),
               "JointNPVCube: id (" << id << ") out of range, have " << cubeAndId_.size() << " ids");
    return cubeAndId_[id];
}

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Member Data Documentation

cubes_

const std::vector<QuantLib::ext::shared_ptr<NPVCube> > cubes_

private

Definition at line 81 of file jointnpvcube.hpp.

accumulator_

const std::function<Real(Real a, Real x)> accumulator_

private

Definition at line 82 of file jointnpvcube.hpp.

accumulatorInit_

const Real accumulatorInit_

private

Definition at line 83 of file jointnpvcube.hpp.

idIdx_

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

private

Definition at line 85 of file jointnpvcube.hpp.

cubeAndId_

std::vector<std::set<std::pair<QuantLib::ext::shared_ptr<NPVCube>, Size> > > cubeAndId_

private

Definition at line 86 of file jointnpvcube.hpp.