#include <orea/engine/parsensitivitycubestream.hpp>

Inheritance diagram for ParSensitivityCubeStream:

Collaboration diagram for ParSensitivityCubeStream:

Public Member Functions
	ParSensitivityCubeStream (const QuantLib::ext::shared_ptr< ZeroToParCube > &cube, const std::string &currency)

ore::analytics::SensitivityRecord	next () override

void	reset () override
	Resets the stream so that SensitivityRecord objects can be streamed again. More...

Public Member Functions inherited from SensitivityStream
virtual	~SensitivityStream ()
	Destructor. More...

virtual SensitivityRecord	next ()=0
	Returns the next SensitivityRecord in the stream. More...

virtual void	reset ()=0
	Resets the stream so that SensitivityRecord objects can be streamed again. More...

Private Member Functions
void	init ()
	Shared initialisation. More...

Private Attributes
Size	zeroCubeIdx_
	zero cube idx More...

QuantLib::ext::shared_ptr< ZeroToParCube >	cube_
	Handle on the SensitivityCube. More...

std::string	currency_
	Currency of the sensitivities in the SensitivityCube. More...

std::map< std::string, QuantLib::Size >::const_iterator	tradeIdx_
	TradeId and index of current trade ID in the underlying cube. More...

std::map< ore::analytics::RiskFactorKey, QuantLib::Real >	currentDeltas_
	Par deltas for current trade ID. More...

std::map< ore::analytics::RiskFactorKey, QuantLib::Real >::iterator	itCurrent_
	Iterator to current delta. More...

Detailed Description

Class for streaming SensitivityRecords from a par sensitivity cube

Definition at line 35 of file parsensitivitycubestream.hpp.

Constructor & Destructor Documentation

◆ ParSensitivityCubeStream()

ParSensitivityCubeStream	(	const QuantLib::ext::shared_ptr< ZeroToParCube > &	cube,
		const std::string &	currency
	)

Constructor providing the sensitivity cube and currency of the sensitivities

Definition at line 32 of file parsensitivitycubestream.cpp.

    : zeroCubeIdx_(0), cube_(cube), currency_(currency), itCurrent_(currentDeltas_.begin()) {
    QL_REQUIRE(!cube_->zeroCubes().empty(), "ParSensitivityCubeStream: cube contains no zero cubes");
    tradeIdx_ = cube_->zeroCubes().front()->tradeIdx().begin();
    init();
}

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Member Function Documentation

◆ next()

SensitivityRecord next ( )

overridevirtual

Returns the next SensitivityRecord in the stream

Warning:: the cube must not change during successive calls to next()!

Implements SensitivityStream.

Definition at line 39 of file parsensitivitycubestream.cpp.

                                                 {
 
    SensitivityRecord sr;
 
    while (itCurrent_ == currentDeltas_.end() && tradeIdx_ != cube_->zeroCubes()[zeroCubeIdx_]->tradeIdx().end()) {
        // Move to next trade
        tradeIdx_++;
        // update par deltas
        if (tradeIdx_ != cube_->zeroCubes()[zeroCubeIdx_]->tradeIdx().end()) {
            DLOG("Retrieving par deltas for trade " << tradeIdx_->first);
            currentDeltas_ = cube_->parDeltas(zeroCubeIdx_, tradeIdx_->second);
            itCurrent_ = currentDeltas_.begin();
            DLOG("There are " << currentDeltas_.size() << " par deltas for trade " << tradeIdx_->first);
        }
    }
 
    if (tradeIdx_ != cube_->zeroCubes()[zeroCubeIdx_]->tradeIdx().end()) {
        // Populate current sensitivity record
        sr.tradeId = tradeIdx_->first;
        sr.isPar = true;
        sr.currency = currency_;
        sr.baseNpv = cube_->zeroCubes()[zeroCubeIdx_]->npv(tradeIdx_->second);
        if (itCurrent_ != currentDeltas_.end()) {
            DLOG("Processing par delta [" << itCurrent_->first << ", " << itCurrent_->second << "]");
            sr.key_1 = itCurrent_->first;
            auto fullDescription = cube_->zeroCubes()[zeroCubeIdx_]->factorDescription(sr.key_1);
            sr.desc_1 = deconstructFactor(fullDescription).second;
            sr.shift_1 = cube_->zeroCubes()[zeroCubeIdx_]->targetShiftSize(sr.key_1);
            sr.delta = itCurrent_->second;
            sr.gamma = Null<Real>();
            // Move iterator to next par delta
            itCurrent_++;
        }
    } else if (zeroCubeIdx_ < cube_->zeroCubes().size() - 1) {
        ++zeroCubeIdx_;
        init();
        return next();
    }
 
    return sr;
}

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◆ reset()

void reset ( )

overridevirtual

Resets the stream so that SensitivityRecord objects can be streamed again.

Implements SensitivityStream.

Definition at line 81 of file parsensitivitycubestream.cpp.

                                     {
    // Reset all
    zeroCubeIdx_ = 0;
    tradeIdx_ = cube_->zeroCubes()[zeroCubeIdx_]->tradeIdx().begin();
    currentDeltas_ = {};
    itCurrent_ = currentDeltas_.begin();
    // Call init
    init();
}

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◆ init()

void init ( )

private

Shared initialisation.

Definition at line 91 of file parsensitivitycubestream.cpp.

                                    {
    // If we have trade IDs in the underlying cube
    if (!cube_->zeroCubes()[zeroCubeIdx_]->tradeIdx().empty()) {
        tradeIdx_ = cube_->zeroCubes()[zeroCubeIdx_]->tradeIdx().begin();
        DLOG("Retrieving par deltas for trade " << tradeIdx_->first);
        currentDeltas_ = cube_->parDeltas(zeroCubeIdx_, tradeIdx_->second);
        itCurrent_ = currentDeltas_.begin();
        DLOG("There are " << currentDeltas_.size() << " par deltas for trade " << tradeIdx_->first);
    }
}