SensiCube stores only npvs not equal to the base npvs. More...

#include <orea/cube/sensicube.hpp>

Inheritance diagram for SensiCube< T >:

Collaboration diagram for SensiCube< T >:

Public Member Functions
	SensiCube (const std::set< std::string > &ids, const QuantLib::Date &asof, QuantLib::Size samples, const T &t=T())

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

QuantLib::Size	samples () const override

const std::map< std::string, Size > &	idsAndIndexes () const override
	Get the vector of ids for 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 i, Size) const override
	Get a T0 value from the cube. More...

void	setT0 (Real value, Size i, Size) override
	Set a value in the cube. More...

Real	get (Size i, Size j, Size k, Size) const override
	Get a value from the cube. More...

void	set (Real value, Size i, Size j, Size k, Size) override
	Set a value in the cube. More...

void	remove (Size i) override

void	remove (Size i, Size k) override

std::map< QuantLib::Size, QuantLib::Real >	getTradeNPVs (QuantLib::Size i) const override

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

Public Member Functions inherited from NPVSensiCube
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

Protected Member Functions
void	check (QuantLib::Size i, QuantLib::Size j, QuantLib::Size k) 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
std::vector< T >	t0Data_

std::vector< std::map< QuantLib::Size, T > >	tradeNPVs_

std::set< QuantLib::Size >	relevantScenarios_

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

QuantLib::Date	asof_

std::vector< QuantLib::Date >	dates_

QuantLib::Size	samples_

Detailed Description

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

SensiCube stores only npvs not equal to the base npvs.

Definition at line 45 of file sensicube.hpp.

Constructor & Destructor Documentation

◆ SensiCube()

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

Definition at line 47 of file sensicube.hpp.

        : asof_(asof), dates_(1, asof), samples_(samples), t0Data_(ids.size(), t),
          tradeNPVs_(ids.size(), map<Size, T>()) {
        Size pos = 0;
        for (const auto& id : ids) {
            idIdx_[id] = pos++; 
        }
    }

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Member Function Documentation

◆ numIds()

QuantLib::Size numIds ( ) const

overridevirtual

Return the length of each dimension.

Implements NPVCube.

Definition at line 57 of file sensicube.hpp.

57{ return idIdx_.size(); }

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◆ samples()

QuantLib::Size samples ( ) const

overridevirtual

Implements NPVCube.

Definition at line 58 of file sensicube.hpp.

58{ return samples_; }

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◆ idsAndIndexes()

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

overridevirtual

Get the vector of ids for this cube.

Implements NPVCube.

Definition at line 61 of file sensicube.hpp.

61{ return idIdx_; }

◆ dates()

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

overridevirtual

Get the vector of dates for this cube.

Implements NPVCube.

Definition at line 64 of file sensicube.hpp.

64{ return dates_; }

◆ asof()

QuantLib::Date asof ( ) const

overridevirtual

Return the asof date (T0 date)

Implements NPVCube.

Definition at line 67 of file sensicube.hpp.

67{ return asof_; }

◆ getT0()

Real getT0	(	Size	i,
		Size
	)		const

overridevirtual

Get a T0 value from the cube.

Implements NPVCube.

Definition at line 70 of file sensicube.hpp.

                                            {
        this->check(i, 0, 0);
        return this->t0Data_[i];
    }

◆ setT0()

void setT0	(	Real	value,
		Size	i,
		Size
	)

overridevirtual

Set a value in the cube.

Implements NPVCube.

Definition at line 76 of file sensicube.hpp.

                                                  {
        this->check(i, 0, 0);
        this->t0Data_[i] = static_cast<T>(value);
    }

◆ get()

Real get	(	Size	i,
		Size	j,
		Size	k,
		Size
	)		const

overridevirtual

Get a value from the cube.

Implements NPVCube.

Definition at line 82 of file sensicube.hpp.

                                                          {
        this->check(i, j, k);
 
        auto itr = this->tradeNPVs_[i].find(k);
        if (itr != tradeNPVs_[i].end()) {
            return itr->second;
        } else {
            return this->t0Data_[i];
        }
    }

◆ set()

void set	(	Real	value,
		Size	i,
		Size	j,
		Size	k,
		Size
	)

overridevirtual

Set a value in the cube.

Implements NPVCube.

Definition at line 94 of file sensicube.hpp.

                                                                {
        this->check(i, j, k);
        T castValue = static_cast<T>(value);
        if (boost::math::epsilon_difference<T>(castValue, t0Data_[i]) > 42) {
            this->tradeNPVs_[i][k] = castValue;
            relevantScenarios_.insert(k);
        }
    }

◆ remove() [1/2]

void remove ( Size id )

overridevirtual

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 from NPVCube.

Definition at line 103 of file sensicube.hpp.

                                 {
        this->check(i,0,0);
        this->t0Data_[i] = 0.0;
        this->tradeNPVs_[i].clear();
    }

◆ remove() [2/2]

void remove	(	Size	id,
		Size	sample
	)

overridevirtual

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

Reimplemented from NPVCube.

Definition at line 109 of file sensicube.hpp.

                                         {
        this->check(i,0,k);
        this->tradeNPVs_[i].erase(k);
    }

◆ getTradeNPVs()

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

override

Definition at line 114 of file sensicube.hpp.

114{ return tradeNPVs_[i]; }

◆ relevantScenarios()

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

overridevirtual

Return the set of scenario indices with non-zero result

Implements NPVSensiCube.

Definition at line 116 of file sensicube.hpp.

116{ return relevantScenarios_; }

◆ check()

void check	(	QuantLib::Size	i,
		QuantLib::Size	j,
		QuantLib::Size	k
	)		const

protected

Definition at line 129 of file sensicube.hpp.

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

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Member Data Documentation

◆ idIdx_

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

private

Definition at line 119 of file sensicube.hpp.

◆ asof_

QuantLib::Date asof_

private

Definition at line 120 of file sensicube.hpp.

◆ dates_

std::vector<QuantLib::Date> dates_

private

Definition at line 121 of file sensicube.hpp.

◆ samples_

QuantLib::Size samples_

private

Definition at line 122 of file sensicube.hpp.

◆ t0Data_

std::vector<T> t0Data_

protected

Definition at line 125 of file sensicube.hpp.

◆ tradeNPVs_

std::vector<std::map<QuantLib::Size, T> > tradeNPVs_

protected

Definition at line 126 of file sensicube.hpp.

◆ relevantScenarios_

std::set<QuantLib::Size> relevantScenarios_

protected

Definition at line 127 of file sensicube.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ SensiCube()

Member Function Documentation

◆ numIds()

◆ samples()

◆ idsAndIndexes()

◆ dates()

◆ asof()

◆ getT0()

◆ setT0()

◆ get()

◆ set()

◆ remove() [1/2]

◆ remove() [2/2]

◆ getTradeNPVs()

◆ relevantScenarios()

◆ check()

Member Data Documentation

◆ idIdx_

◆ asof_

◆ dates_

◆ samples_

◆ t0Data_

◆ tradeNPVs_

◆ relevantScenarios_