NPVCube Class Reference

NPV Cube class stores both future and current NPV values. More...

#include <orea/cube/npvcube.hpp>

Inheritance diagram for NPVCube:

Collaboration diagram for NPVCube:

Public Member Functions
	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
virtual Size	index (const std::string &id) const
virtual Size	index (const QuantLib::Date &date) const

Detailed Description

NPV Cube class stores both future and current NPV values.

The cube class stores future NPV values in a 4-D array.

This abstract base class is just used for the storage of a cube. This class also stores the tradeIds, dates and vector of T0 NPVs

The values in the cube must be set according to the following rules to ensure consistent behavior:

• T0 values need to be set first using setT0(), in arbitrary order for (id, date, sample, depth), not all possible tuples have to be covered
• after that the other values can be set using set(), again in arbitrary order for (id, date, sample, depth) and again not all possible tuples have to be covered
• for each tuple (id, date, sample, depth) setT0() and set() should only be called once

Definition at line 53 of file npvcube.hpp.

Constructor & Destructor Documentation

NPVCube() [1/2]

NPVCube

(

)

default ctor

Definition at line 56 of file npvcube.hpp.

{}

NPVCube() [2/2]

NPVCube ( NPVCube &  )

delete

Do not allow cube copying.

~NPVCube()

virtual ~NPVCube ( )

virtual

dtor

Definition at line 63 of file npvcube.hpp.

{}

Member Function Documentation

operator=()

NPVCube & operator= ( NPVCube const &  )

delete

numIds()

virtual Size numIds ( ) const

pure virtual

Return the length of each dimension.

Implemented in InMemoryCubeBase< T >, InMemoryCubeBase< vector< T > >, JaggedCube< T >, JointNPVCube, JointNPVSensiCube, SensiCube< T >, and SparseNpvCube< T >.

numDates()

virtual Size numDates ( ) const

pure virtual

Implemented in InMemoryCubeBase< T >, InMemoryCubeBase< vector< T > >, JaggedCube< T >, JointNPVCube, JointNPVSensiCube, NPVSensiCube, and SparseNpvCube< T >.

Here is the caller graph for this function:

samples()

virtual Size samples ( ) const

pure virtual

Implemented in InMemoryCubeBase< T >, InMemoryCubeBase< vector< T > >, JaggedCube< T >, JointNPVCube, JointNPVSensiCube, SensiCube< T >, and SparseNpvCube< T >.

Here is the caller graph for this function:

depth()

virtual Size depth ( ) const

pure virtual

Implemented in InMemoryCube1< T >, InMemoryCubeN< T >, JaggedCube< T >, JointNPVCube, JointNPVSensiCube, NPVSensiCube, and SparseNpvCube< T >.

Here is the caller graph for this function:

idsAndIndexes()

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

pure virtual

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

Implemented in InMemoryCubeBase< T >, InMemoryCubeBase< vector< T > >, JaggedCube< T >, JointNPVCube, JointNPVSensiCube, SensiCube< T >, and SparseNpvCube< T >.

Here is the caller graph for this function:

ids()

const std::set< std::string > ids

(

)

const

Get a set of all ids in the cube.

Definition at line 75 of file npvcube.hpp.

                                        {
        std::set<std::string> result;
        for (const auto& [id, pos] : idsAndIndexes()) {
            result.insert(id);
        }
        return result;
    }

Here is the call graph for this function:

Here is the caller graph for this function:

dates()

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

pure virtual

Get the vector of dates for this cube.

Implemented in InMemoryCubeBase< T >, InMemoryCubeBase< vector< T > >, JaggedCube< T >, JointNPVCube, JointNPVSensiCube, SensiCube< T >, and SparseNpvCube< T >.

Here is the caller graph for this function:

asof()

virtual QuantLib::Date asof ( ) const

pure virtual

Return the asof date (T0 date)

Implemented in InMemoryCubeBase< T >, InMemoryCubeBase< vector< T > >, JaggedCube< T >, JointNPVCube, JointNPVSensiCube, SensiCube< T >, and SparseNpvCube< T >.

Here is the caller graph for this function:

getT0() [1/2]

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

pure virtual

Get a T0 value from the cube using index.

Implemented in InMemoryCube1< T >, InMemoryCubeN< T >, JaggedCube< T >, SparseNpvCube< T >, SensiCube< T >, JointNPVCube, and JointNPVSensiCube.

getT0() [2/2]

virtual Real getT0 ( const std::string &  id, Size  depth = 0  ) const

virtual

Get a T0 value from the cube using trade id.

Definition at line 91 of file npvcube.hpp.

{ return getT0(index(id), depth); };

Here is the call graph for this function:

Here is the caller graph for this function:

setT0() [1/2]

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

pure virtual

Set a value in the cube using index.

Implemented in InMemoryCube1< T >, InMemoryCubeN< T >, JaggedCube< T >, SparseNpvCube< T >, SensiCube< T >, JointNPVCube, and JointNPVSensiCube.

Here is the caller graph for this function:

setT0() [2/2]

virtual void setT0 ( Real  value, const std::string &  id, Size  depth = 0  )

virtual

Set a value in the cube using trade id.

Definition at line 95 of file npvcube.hpp.

{ setT0(value, index(id), depth); };

Here is the call graph for this function:

Here is the caller graph for this function:

get() [1/2]

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

pure virtual

Get a value from the cube using index.

Implemented in InMemoryCube1< T >, InMemoryCubeN< T >, JaggedCube< T >, SparseNpvCube< T >, SensiCube< T >, JointNPVCube, JointNPVSensiCube, and NPVSensiCube.

Here is the caller graph for this function:

set() [1/2]

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

pure virtual

Set a value in the cube using index.

Implemented in InMemoryCube1< T >, InMemoryCubeN< T >, JaggedCube< T >, SparseNpvCube< T >, SensiCube< T >, JointNPVCube, JointNPVSensiCube, and NPVSensiCube.

Here is the caller graph for this function:

get() [2/2]

virtual Real get ( const std::string &  id, const QuantLib::Date &  date, Size  sample, Size  depth = 0  ) const

virtual

Get a value from the cube using trade id and date.

Reimplemented in NPVSensiCube.

Definition at line 103 of file npvcube.hpp.

                                                                                                       {
        return get(index(id), index(date), sample, depth);
    };

Here is the call graph for this function:

set() [2/2]

virtual void set ( Real  value, const std::string &  id, const QuantLib::Date &  date, Size  sample, Size  depth = 0  )

virtual

Set a value in the cube using trade id and date.

Reimplemented in NPVSensiCube.

Definition at line 107 of file npvcube.hpp.

                                                                                                             {
        set(value, index(id), index(date), sample, depth);
    }

Here is the call graph for this function:

remove() [1/2]

void remove ( Size  id )

virtual

remove all values for a given id, i.e. change the state as if setT0() and set() has never been called for the id the default implementation has generelly to be overriden in derived classes depending on how values are stored

Reimplemented in SensiCube< T >, and JointNPVSensiCube.

Definition at line 137 of file npvcube.hpp.

                                   {
    for (Size date = 0; date < this->numDates(); ++date) {
        for (Size depth = 0; depth < this->depth(); ++depth) {
            setT0(0.0, id, depth);
            for (Size sample = 0; sample < this->samples(); ++sample) {
                set(0.0, id, date, sample, depth);
            }
        }
    }
}

Here is the call graph for this function:

remove() [2/2]

void remove ( Size  id, Size  sample  )

virtual

simliar as above, but remove all values for a given id and scenario and keep T0 values

Reimplemented in SensiCube< T >, and JointNPVSensiCube.

Definition at line 148 of file npvcube.hpp.

                                                {
    for (Size date = 0; date < this->numDates(); ++date) {
        for (Size depth = 0; depth < this->depth(); ++depth) {
            set(0.0, id, date, sample, depth);
        }
    }
}

Here is the call graph for this function:

getTradeIndex()

Size getTradeIndex

(

const std::string &

id

)

const

Definition at line 118 of file npvcube.hpp.

{ return index(id); }

Here is the call graph for this function:

index() [1/2]

virtual Size index ( const std::string &  id ) const

protectedvirtual

Definition at line 121 of file npvcube.hpp.

                                                  {
        const auto& it = idsAndIndexes().find(id);
        QL_REQUIRE(it != idsAndIndexes().end(), "NPVCube can't find an index for id " << id);
        return it->second;
    };

Here is the call graph for this function:

Here is the caller graph for this function:

index() [2/2]

virtual Size index ( const QuantLib::Date &  date ) const

protectedvirtual

Definition at line 127 of file npvcube.hpp.

                                                       {
        auto it = std::find(dates().begin(), dates().end(), date);
        QL_REQUIRE(it != dates().end(), "NPVCube can't find an index for date " << date);
        return std::distance(dates().begin(), it);
    };

Here is the call graph for this function: