NPVSensiCube class stores NPVs resulting from risk factor shifts on an as of date. More...

#include <orea/cube/npvsensicube.hpp>

Inheritance diagram for NPVSensiCube:

Collaboration diagram for NPVSensiCube:

Public Member Functions
QuantLib::Size	numDates () const override
	Number of dates in the NPVSensiCube is exactly one i.e. the as of date. More...

QuantLib::Size	depth () const override
	The depth in the NPVSensiCube is exactly one. More...

Real	get (QuantLib::Size id, QuantLib::Size sample) const
	Convenience method to get a value from the cube using `id` and `sample` only. More...

Real	get (const std::string &id, QuantLib::Size sample) const
	Convenience method to get a value from the cube using `id` and `sample` only. More...

void	set (QuantLib::Real value, QuantLib::Size id, QuantLib::Size sample)
	Convenience method to set a value in the cube using `id` and `sample` only. More...

void	set (QuantLib::Real value, const std::string &id, QuantLib::Size sample)
	Convenience method to set a value in the cube using `id` and `sample` only. More...

Size	getTradeIndex (const std::string &tradeId) const
	Return the index of the trade in the cube. More...

virtual std::map< QuantLib::Size, QuantLib::Real >	getTradeNPVs (Size tradeIdx) const =0

std::map< QuantLib::Size, QuantLib::Real >	getTradeNPVs (const std::string &tradeId) const

virtual std::set< QuantLib::Size >	relevantScenarios () const =0

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

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

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

NPVSensiCube class stores NPVs resulting from risk factor shifts on an as of date.

This class is a restriction of the NPVCube to a grid of values where the ids are trade IDs and the samples are risk factor shifts

Definition at line 40 of file npvsensicube.hpp.

Member Function Documentation

◆ numDates()

QuantLib::Size numDates ( ) const

overridevirtual

Number of dates in the NPVSensiCube is exactly one i.e. the as of date.

Implements NPVCube.

Definition at line 46 of file npvsensicube.hpp.

46{ return 1; }

◆ depth()

QuantLib::Size depth ( ) const

overridevirtual

The depth in the NPVSensiCube is exactly one.

Implements NPVCube.

Definition at line 49 of file npvsensicube.hpp.

49{ return 1; }

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◆ get() [1/4]

Real get	(	QuantLib::Size	id,
		QuantLib::Size	sample
	)		const

Convenience method to get a value from the cube using id and sample only.

Definition at line 52 of file npvsensicube.hpp.

52{ return this->get(id, 0, sample, 0); }

ore::analytics::NPVSensiCube::get

Real get(QuantLib::Size id, QuantLib::Size sample) const

Convenience method to get a value from the cube using id and sample only.

Definition: npvsensicube.hpp:52

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◆ get() [2/4]

Real get	(	const std::string &	id,
		QuantLib::Size	sample
	)		const

Convenience method to get a value from the cube using id and sample only.

Definition at line 55 of file npvsensicube.hpp.

55{ return this->get(id, asof(), sample, 0); };

ore::analytics::NPVCube::asof

virtual QuantLib::Date asof() const =0

Return the asof date (T0 date)

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◆ set() [1/4]

void set	(	QuantLib::Real	value,
		QuantLib::Size	id,
		QuantLib::Size	sample
	)

Convenience method to set a value in the cube using id and sample only.

Definition at line 58 of file npvsensicube.hpp.

58{ this->set(value, id, 0, sample, 0); }

ore::analytics::NPVSensiCube::set

void set(QuantLib::Real value, QuantLib::Size id, QuantLib::Size sample)

Convenience method to set a value in the cube using id and sample only.

Definition: npvsensicube.hpp:58

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◆ set() [2/4]

void set	(	QuantLib::Real	value,
		const std::string &	id,
		QuantLib::Size	sample
	)

Convenience method to set a value in the cube using id and sample only.

Definition at line 61 of file npvsensicube.hpp.

                                                                           {
        this->set(value, id, asof(), sample, 0);
    }

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◆ getTradeIndex()

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

Return the index of the trade in the cube.

Definition at line 66 of file npvsensicube.hpp.

66{ return index(tradeId); }

ore::analytics::NPVCube::index

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

Definition: npvcube.hpp:121

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◆ getTradeNPVs() [1/2]

virtual std::map< QuantLib::Size, QuantLib::Real > getTradeNPVs ( Size tradeIdx ) const

pure virtual

Return a map for the trade ID at index tradeIdx where the map key is the index of the risk factor shift and the map value is the NPV under that shift

Implemented in JointNPVSensiCube.

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◆ getTradeNPVs() [2/2]

std::map< QuantLib::Size, QuantLib::Real > getTradeNPVs ( const std::string & tradeId ) const

Return a map for the tradeId where the map key is the index of the risk factor shift and the map value is the NPV under that shift

Definition at line 76 of file npvsensicube.hpp.

                                                                                    {
        return getTradeNPVs(index(tradeId));
    }

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◆ relevantScenarios()

virtual std::set< QuantLib::Size > relevantScenarios ( ) const

pure virtual

Return the set of scenario indices with non-zero result

Implemented in JointNPVSensiCube, and SensiCube< T >.

◆ get() [3/4]

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

virtual

Get a value from the cube using index.

Implements NPVCube.

◆ get() [4/4]

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 from NPVCube.

Definition at line 103 of file npvcube.hpp.

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

◆ set() [3/4]

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

virtual

Set a value in the cube using index.

Implements NPVCube.

◆ set() [4/4]

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 from NPVCube.

Definition at line 107 of file npvcube.hpp.

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

Public Member Functions

Additional Inherited Members

Detailed Description

Member Function Documentation

◆ numDates()

◆ depth()

◆ get() [1/4]

◆ get() [2/4]

◆ set() [1/4]

◆ set() [2/4]

◆ getTradeIndex()

◆ getTradeNPVs() [1/2]

◆ getTradeNPVs() [2/2]

◆ relevantScenarios()

◆ get() [3/4]

◆ get() [4/4]

◆ set() [3/4]

◆ set() [4/4]