SensitivityCube is a wrapper for an npvCube that gives easier access to the underlying cube elements. More...

#include <orea/cube/sensitivitycube.hpp>

Collaboration diagram for SensitivityCube:

Classes
struct	FactorData

Public Types
typedef std::pair< RiskFactorKey, RiskFactorKey >	crossPair

typedef ShiftScenarioGenerator::ScenarioDescription	ShiftScenarioDescription

Public Member Functions
	SensitivityCube (const QuantLib::ext::shared_ptr< NPVSensiCube > &cube, const std::vector< ShiftScenarioDescription > &scenarioDescriptions, const std::map< RiskFactorKey, QuantLib::Real > &targetShiftSizes, const std::map< RiskFactorKey, QuantLib::Real > &actualShiftSizes, const std::map< RiskFactorKey, ShiftScheme > &shiftSchemes)
	Constructor using a vector of scenario descriptions. More...

	SensitivityCube (const QuantLib::ext::shared_ptr< NPVSensiCube > &cube, const std::vector< std::string > &scenarioDescriptions, const std::map< RiskFactorKey, QuantLib::Real > &targetShiftSizes, const std::map< RiskFactorKey, QuantLib::Real > &actualshiftSizes, const std::map< RiskFactorKey, ShiftScheme > &shiftSchemes)
	Constructor using a vector of scenario description strings. More...

Inspectors
QuantLib::ext::shared_ptr< NPVSensiCube >	cube_

std::vector< ShiftScenarioDescription >	scenarioDescriptions_

std::map< RiskFactorKey, QuantLib::Real >	targetShiftSizes_

std::map< RiskFactorKey, QuantLib::Real >	actualShiftSizes_

std::map< RiskFactorKey, ShiftScheme >	shiftSchemes_

std::set< RiskFactorKey >	factors_

std::map< std::string, QuantLib::Size >	tradeIdx_

std::map< ShiftScenarioDescription, QuantLib::Size >	scenarioIdx_

std::map< RiskFactorKey, FactorData >	upFactors_

std::map< RiskFactorKey, FactorData >	downFactors_

std::map< crossPair, std::tuple< FactorData, FactorData, QuantLib::Size > >	crossFactors_

std::map< QuantLib::Size, RiskFactorKey >	upIndexToKey_

std::map< QuantLib::Size, RiskFactorKey >	downIndexToKey_

std::map< QuantLib::Size, crossPair >	crossIndexToKey_

const QuantLib::ext::shared_ptr< NPVSensiCube > &	npvCube () const

const std::vector< ShiftScenarioDescription > &	scenarioDescriptions () const

bool	hasTrade (const std::string &tradeId) const
	Check if the cube has scenario NPVs for trade with ID `tradeId`. More...

const std::map< std::string, QuantLib::Size > &	tradeIdx () const
	Return the map of up trade id's to index in cube. More...

RiskFactorKey	upDownFactor (const Size index) const

crossPair	crossFactor (const Size crossIndex) const

bool	hasScenario (const ShiftScenarioDescription &scenarioDescription) const
	Check if the cube has scenario NPVs for scenario with description `scenarioDescription`. More...

std::string	factorDescription (const RiskFactorKey &riskFactorKey) const

const std::set< RiskFactorKey > &	factors () const
	Returns the set of risk factor keys for which a delta and gamma can be calculated. More...

const std::map< RiskFactorKey, SensitivityCube::FactorData > &	upFactors () const
	Return the map of up risk factors to its factor data. More...

const std::map< RiskFactorKey, SensitivityCube::FactorData > &	downFactors () const
	Return the map of down risk factors to its factor data. More...

const std::map< crossPair, std::tuple< SensitivityCube::FactorData, SensitivityCube::FactorData, QuantLib::Size > > &	crossFactors () const
	Returns the set of pairs of risk factor keys for which a cross gamma is available. More...

QuantLib::Real	targetShiftSize (const RiskFactorKey &riskFactorKey) const
	Returns the absolute target shift size for given risk factor `key`. More...

QuantLib::Real	actualShiftSize (const RiskFactorKey &riskFactorKey) const
	Returns the absolute actual shift size for given risk factor `key`. More...

ShiftScheme	shiftScheme (const RiskFactorKey &riskFactorKey) const
	Returns the shift scheme for given risk factor `key`. More...

QuantLib::Real	npv (const std::string &tradeId) const
	Get the base NPV for trade with ID `tradeId`. More...

QuantLib::Real	npv (QuantLib::Size id) const
	Get the NPV for trade given the index of trade in the cube. More...

QuantLib::Real	delta (const Size tradeIdx, const RiskFactorKey &riskFactorKey) const
	Get the trade delta for trade with index `tradeIdx` and for the given risk factor key `riskFactorKey`. More...

QuantLib::Real	delta (const std::string &tradeId, const RiskFactorKey &riskFactorKey) const
	Get the trade delta for trade with ID `tradeId` and for the given risk factor key `riskFactorKey`. More...

QuantLib::Real	gamma (const Size tradeIdx, const RiskFactorKey &riskFactorKey) const
	Get the trade gamma for trade with index `tradeIdx` and for the given risk factor key `riskFactorKey`. More...

QuantLib::Real	gamma (const std::string &tradeId, const RiskFactorKey &riskFactorKey) const
	Get the trade gamma for trade with ID `tradeId` and for the given risk factor key `riskFactorKey`. More...

QuantLib::Real	crossGamma (const Size tradeIdx, const crossPair &riskFactorKeyPair) const

QuantLib::Real	crossGamma (const std::string &tradeId, const crossPair &riskFactorKeyPair) const

QuantLib::Real	crossGamma (QuantLib::Size tradeIdx, QuantLib::Size upIdx_1, QuantLib::Size upIdx_2, QuantLib::Size crossId, QuantLib::Real scaling1, QuantLib::Real scaling2) const
	Get the trade cross gamma for trade given the index of trade and risk factors in the cube. More...

std::set< RiskFactorKey >	relevantRiskFactors () const
	Get the relevant risk factors. More...

void	initialise ()
	Initialise method used by the constructors. More...

Detailed Description

SensitivityCube is a wrapper for an npvCube that gives easier access to the underlying cube elements.

Definition at line 42 of file sensitivitycube.hpp.

Member Typedef Documentation

◆ crossPair

typedef std::pair<RiskFactorKey, RiskFactorKey> crossPair

Definition at line 45 of file sensitivitycube.hpp.

◆ ShiftScenarioDescription

typedef ShiftScenarioGenerator::ScenarioDescription ShiftScenarioDescription

Definition at line 46 of file sensitivitycube.hpp.

Constructor & Destructor Documentation

◆ SensitivityCube() [1/2]

SensitivityCube	(	const QuantLib::ext::shared_ptr< NPVSensiCube > &	cube,
		const std::vector< ShiftScenarioDescription > &	scenarioDescriptions,
		const std::map< RiskFactorKey, QuantLib::Real > &	targetShiftSizes,
		const std::map< RiskFactorKey, QuantLib::Real > &	actualShiftSizes,
		const std::map< RiskFactorKey, ShiftScheme > &	shiftSchemes
	)

Constructor using a vector of scenario descriptions.

Definition at line 59 of file sensitivitycube.cpp.

    : cube_(cube), scenarioDescriptions_(scenarioDescriptions), targetShiftSizes_(targetShiftSizes),
      actualShiftSizes_(actualShiftSizes), shiftSchemes_(shiftSchemes) {
    initialise();
}

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◆ SensitivityCube() [2/2]

SensitivityCube	(	const QuantLib::ext::shared_ptr< NPVSensiCube > &	cube,
		const std::vector< std::string > &	scenarioDescriptions,
		const std::map< RiskFactorKey, QuantLib::Real > &	targetShiftSizes,
		const std::map< RiskFactorKey, QuantLib::Real > &	actualshiftSizes,
		const std::map< RiskFactorKey, ShiftScheme > &	shiftSchemes
	)

Constructor using a vector of scenario description strings.

Definition at line 69 of file sensitivitycube.cpp.

    : cube_(cube), targetShiftSizes_(targetShiftSizes), actualShiftSizes_(actualShiftSizes),
      shiftSchemes_(shiftSchemes) {
 
    // Populate scenarioDescriptions_ from string descriptions
    scenarioDescriptions_.reserve(scenarioDescriptions.size());
    for (const auto& des : scenarioDescriptions) {
        scenarioDescriptions_.push_back(ShiftScenarioDescription(des));
    }
 
    initialise();
}

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Member Function Documentation

◆ npvCube()

const QuantLib::ext::shared_ptr< NPVSensiCube > & npvCube ( ) const

Definition at line 72 of file sensitivitycube.hpp.

72{ return cube_; }

◆ scenarioDescriptions()

const std::vector< ShiftScenarioDescription > & scenarioDescriptions ( ) const

Definition at line 73 of file sensitivitycube.hpp.

73{ return scenarioDescriptions_; }

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◆ hasTrade()

bool hasTrade ( const std::string & tradeId ) const

Check if the cube has scenario NPVs for trade with ID tradeId.

Definition at line 147 of file sensitivitycube.cpp.

147{ return tradeIdx_.count(tradeId) > 0; }

ore::analytics::SensitivityCube::tradeIdx_

std::map< std::string, QuantLib::Size > tradeIdx_

Definition: sensitivitycube.hpp:166

◆ tradeIdx()

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

Return the map of up trade id's to index in cube.

Definition at line 80 of file sensitivitycube.hpp.

80{ return cube_->idsAndIndexes(); };

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◆ upDownFactor()

RiskFactorKey upDownFactor ( const Size index ) const

Return factor for given up or down scenario index or None if given index is not an up or down scenario (to be reviewed)

Definition at line 149 of file sensitivitycube.cpp.

                                                                  {
    if (auto k = upIndexToKey_.find(index); k != upIndexToKey_.end()) {
        return k->second;
    } else if (auto k = downIndexToKey_.find(index); k != downIndexToKey_.end()) {
        return k->second;
    } else {
        return RiskFactorKey();
    }
}

◆ crossFactor()

SensitivityCube::crossPair crossFactor ( const Size crossIndex ) const

Return factor for given cross scenario index or None if given index is not a cross scenario (to be reviewed)

Definition at line 159 of file sensitivitycube.cpp.

                                                                                 {
    if (auto k = crossIndexToKey_.find(crossIndex); k != crossIndexToKey_.end()) {
        return k->second;
    } else {
        return std::make_pair(RiskFactorKey(), RiskFactorKey());
    }
}

◆ hasScenario()

bool hasScenario ( const ShiftScenarioDescription & scenarioDescription ) const

Check if the cube has scenario NPVs for scenario with description scenarioDescription.

Definition at line 167 of file sensitivitycube.cpp.

                                                                                           {
    return scenarioIdx_.find(scenarioDescription) != scenarioIdx_.end();
}

◆ factorDescription()

std::string factorDescription ( const RiskFactorKey & riskFactorKey ) const

Get the description for the risk factor key riskFactorKey Returns the result of ShiftScenarioGenerator::ScenarioDescription::factor1()

Definition at line 171 of file sensitivitycube.cpp.

                                                                                     {
    Size scenarioIdx = index(riskFactorKey, upFactors_).index;
    return scenarioDescriptions_[scenarioIdx].factor1();
}

◆ factors()

const set< RiskFactorKey > & factors ( ) const

Returns the set of risk factor keys for which a delta and gamma can be calculated.

Definition at line 176 of file sensitivitycube.cpp.

176{ return factors_; }

ore::analytics::SensitivityCube::factors_

std::set< RiskFactorKey > factors_

Definition: sensitivitycube.hpp:162

◆ upFactors()

const std::map< RiskFactorKey, SensitivityCube::FactorData > & upFactors ( ) const

Return the map of up risk factors to its factor data.

Definition at line 99 of file sensitivitycube.hpp.

99{ return upFactors_; };

◆ downFactors()

const std::map< RiskFactorKey, SensitivityCube::FactorData > & downFactors ( ) const

Return the map of down risk factors to its factor data.

Definition at line 102 of file sensitivitycube.hpp.

102{ return downFactors_; };

ore::analytics::SensitivityCube::downFactors_

std::map< RiskFactorKey, FactorData > downFactors_

Definition: sensitivitycube.hpp:169

◆ crossFactors()

const std::map< SensitivityCube::crossPair, tuple< SensitivityCube::FactorData, SensitivityCube::FactorData, Size > > & crossFactors ( ) const

Returns the set of pairs of risk factor keys for which a cross gamma is available.

Definition at line 179 of file sensitivitycube.cpp.

                                    {
    return crossFactors_;
}

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◆ targetShiftSize()

Real targetShiftSize ( const RiskFactorKey & riskFactorKey ) const

Returns the absolute target shift size for given risk factor key.

Definition at line 183 of file sensitivitycube.cpp.

                                                                              {
    auto it = targetShiftSizes_.find(riskFactorKey);
    QL_REQUIRE(it != targetShiftSizes_.end(),
               "Risk factor, " << riskFactorKey << ", was not found in the target shift sizes.");
    return it->second;
}

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◆ actualShiftSize()

Real actualShiftSize ( const RiskFactorKey & riskFactorKey ) const

Returns the absolute actual shift size for given risk factor key.

Definition at line 190 of file sensitivitycube.cpp.

                                                                              {
    auto it = actualShiftSizes_.find(riskFactorKey);
    QL_REQUIRE(it != actualShiftSizes_.end(),
               "Risk factor, " << riskFactorKey << ", was not found in the actual shift sizes.");
    return it->second;
}

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◆ shiftScheme()

ShiftScheme shiftScheme ( const RiskFactorKey & riskFactorKey ) const

Returns the shift scheme for given risk factor key.

Definition at line 197 of file sensitivitycube.cpp.

                                                                                 {
    auto it = shiftSchemes_.find(riskFactorKey);
    QL_REQUIRE(it != shiftSchemes_.end(), "Risk factor, " << riskFactorKey << ", was not found in the shift schemes.");
    return it->second;
}

◆ npv() [1/2]

Real npv ( const std::string & tradeId ) const

Get the base NPV for trade with ID tradeId.

Definition at line 203 of file sensitivitycube.cpp.

203{ return cube_->getT0(tradeId, 0); }

◆ npv() [2/2]

QuantLib::Real npv ( QuantLib::Size id ) const

Get the NPV for trade given the index of trade in the cube.

◆ delta() [1/2]

Real delta	(	const Size	tradeIdx,
		const RiskFactorKey &	riskFactorKey
	)		const

Get the trade delta for trade with index tradeIdx and for the given risk factor key riskFactorKey.

Definition at line 219 of file sensitivitycube.cpp.

                                                                                         {
    auto s = shiftSchemes_.find(riskFactorKey);
    QL_REQUIRE(s != shiftSchemes_.end(),
               "SensitivityCube::delta(" << tradeIdx << ", " << riskFactorKey << "): no shift scheme stored.");
    if (s->second == ShiftScheme::Forward) {
        auto fd = index(riskFactorKey, upFactors_);
        return (cube_->get(tradeIdx, fd.index) - cube_->getT0(tradeIdx, 0)) * scaling(fd);
    } else if (s->second == ShiftScheme::Backward) {
        auto fd = index(riskFactorKey, downFactors_);
        return (cube_->getT0(tradeIdx, 0) - cube_->get(tradeIdx, fd.index)) * scaling(fd);
    } else if (s->second == ShiftScheme::Central) {
        auto fdup = index(riskFactorKey, upFactors_);
        auto fddown = index(riskFactorKey, downFactors_);
        return (cube_->get(tradeIdx, fdup.index) - cube_->get(tradeIdx, fddown.index)) / 2.0 * scaling(fdup);
    } else {
        QL_FAIL("SensitivityCube::delta(" << tradeIdx << ", " << riskFactorKey << "): unknown shift scheme '"
                                          << s->second << "'");
    }
}

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◆ delta() [2/2]

Real delta	(	const std::string &	tradeId,
		const RiskFactorKey &	riskFactorKey
	)		const

Get the trade delta for trade with ID tradeId and for the given risk factor key riskFactorKey.

Definition at line 239 of file sensitivitycube.cpp.

                                                                                           {
    return delta(cube_->getTradeIndex(tradeId), riskFactorKey);
}

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◆ gamma() [1/2]

Real gamma	(	const Size	tradeIdx,
		const RiskFactorKey &	riskFactorKey
	)		const

Get the trade gamma for trade with index tradeIdx and for the given risk factor key riskFactorKey.

Definition at line 243 of file sensitivitycube.cpp.

                                                                                         {
    auto fdup = index(riskFactorKey, upFactors_);
    auto fddown = index(riskFactorKey, downFactors_);
    Real baseNpv = cube_->getT0(tradeIdx, 0);
    Real upNpv = cube_->get(tradeIdx, fdup.index);
    Real downNpv = cube_->get(tradeIdx, fddown.index);
    return (upNpv - 2.0 * baseNpv + downNpv) * std::pow(scaling(fdup), 2);
}

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◆ gamma() [2/2]

Real gamma	(	const std::string &	tradeId,
		const RiskFactorKey &	riskFactorKey
	)		const

Get the trade gamma for trade with ID tradeId and for the given risk factor key riskFactorKey.

Definition at line 252 of file sensitivitycube.cpp.

                                                                                           {
    return gamma(cube_->getTradeIndex(tradeId), riskFactorKey);
}

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◆ crossGamma() [1/3]

Real crossGamma	(	const Size	tradeIdx,
		const crossPair &	riskFactorKeyPair
	)		const

Get the trade cross gamma for trade with ID tradeId and for the given risk factor key pair riskFactorKeyPair

Definition at line 269 of file sensitivitycube.cpp.

                                                                                              {
    FactorData upFd_1, upFd_2;
    Size crossIdx;
    std::tie(upFd_1, upFd_2, crossIdx) = index(riskFactorKeyPair, crossFactors_);
    return crossGamma(tradeIdx, upFd_1.index, upFd_2.index, crossIdx, scaling(upFd_1), scaling(upFd_2));
}

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◆ crossGamma() [2/3]

Real crossGamma	(	const std::string &	tradeId,
		const crossPair &	riskFactorKeyPair
	)		const

Get the trade cross gamma for trade with ID tradeId and for the given risk factor key pair riskFactorKeyPair

Definition at line 276 of file sensitivitycube.cpp.

                                                                                                   {
    return crossGamma(cube_->getTradeIndex(tradeId), riskFactorKeyPair);
}

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◆ crossGamma() [3/3]

QuantLib::Real crossGamma	(	QuantLib::Size	tradeIdx,
		QuantLib::Size	upIdx_1,
		QuantLib::Size	upIdx_2,
		QuantLib::Size	crossId,
		QuantLib::Real	scaling1,
		QuantLib::Real	scaling2
	)		const

Get the trade cross gamma for trade given the index of trade and risk factors in the cube.

Definition at line 256 of file sensitivitycube.cpp.

                                                                        {
    // Approximate f_{xy}|(x,y) by
    // ([f_{x}|(x,y + dy)] - [f_{x}|(x,y)]) / dy
    // ([f(x + dx,y + dy) - f(x, y + dy)] - [f(x + dx,y) - f(x,y)]) / (dx dy)
    Real baseNpv = cube_->getT0(id, 0);
    Real upNpv_1 = cube_->get(id, upIdx_1);
    Real upNpv_2 = cube_->get(id, upIdx_2);
    Real crossNpv = cube_->get(id, crossIdx);
    return (crossNpv - upNpv_1 - upNpv_2 + baseNpv) * scaling1 * scaling2;
}

◆ relevantRiskFactors()

std::set< RiskFactorKey > relevantRiskFactors ( ) const

Get the relevant risk factors.

Definition at line 280 of file sensitivitycube.cpp.

                                                                 {
    std::set<RiskFactorKey> result;
    for (auto const i : cube_->relevantScenarios()) {
        result.insert(scenarioDescriptions_[i].key1());
        if (scenarioDescriptions_[i].type() == ShiftScenarioDescription::Type::Cross)
            result.insert(scenarioDescriptions_[i].key2());
    }
    return result;
}

◆ initialise()

void initialise ( )

private

Initialise method used by the constructors.

Definition at line 86 of file sensitivitycube.cpp.

                                 {
 
    QL_REQUIRE(scenarioDescriptions_[0].type() == ShiftScenarioDescription::Type::Base,
               "Expected the first scenario in the sensitivity cube to be of type 'Base'");
 
    // Populate the scenario lookup map
    crossPair factorPair;
    std::map<crossPair, Size> crossFactors;
    for (Size i = 0; i < scenarioDescriptions_.size(); i++) {
        auto des = scenarioDescriptions_[i];
        FactorData fd;
        // Don't info add for base - missing from maps
        if (des.type() != ShiftScenarioDescription::Type::Base) {
            fd.index = i;
            fd.targetShiftSize = targetShiftSize(des.key1());
            fd.actualShiftSize = actualShiftSize(des.key1());
            fd.rfkey = des.key1();
            fd.factorDesc = deconstructFactor(des.factor1()).second;
        }
        scenarioIdx_[des] = i;
 
        // Populate factors_ = list of factors for which we can calculate a delta/gamma
        switch (des.type()) {
        case ShiftScenarioDescription::Type::Up:
            QL_REQUIRE(upFactors_.count(des.key1()) == 0, "Cannot have multiple up factors with "
                                                          "the same risk factor key["
                                                              << des.key1() << "]");
            factors_.insert(des.key1());
            upFactors_[des.key1()] = fd;
            upIndexToKey_[fd.index] = des.key1();
            break;
        case ShiftScenarioDescription::Type::Down:
            QL_REQUIRE(downFactors_.count(des.key1()) == 0, "Cannot have multiple down factors with "
                                                            "the same risk factor key ["
                                                                << des.key1() << "]");
            factors_.insert(des.key1());
            downFactors_[des.key1()] = fd;
            downIndexToKey_[fd.index] = des.key1();
            break;
        case ShiftScenarioDescription::Type::Cross:
            factorPair = make_pair(des.key1(), des.key2());
            QL_REQUIRE(crossFactors.count(factorPair) == 0, "Cannot have multiple cross factors with "
                                                            "the same risk factor key pair ["
                                                                << des.key1() << ", " << des.key2() << "]");
            crossFactors[factorPair] = i;
            crossIndexToKey_[i] = factorPair;
            break;
        default:
            // Do nothing
            break;
        }
    }
 
    // Add each cross factor to crossFactors with index of the two contributing factors
    for (auto cf : crossFactors) {
        FactorData id_1 = index(cf.first.first, upFactors_);
        FactorData id_2 = index(cf.first.second, upFactors_);
        crossFactors_[cf.first] = make_tuple(id_1, id_2, cf.second);
    }
}

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Member Data Documentation

◆ cube_

QuantLib::ext::shared_ptr<NPVSensiCube> cube_

private

Definition at line 154 of file sensitivitycube.hpp.

◆ scenarioDescriptions_

std::vector<ShiftScenarioDescription> scenarioDescriptions_

private

Definition at line 155 of file sensitivitycube.hpp.

◆ targetShiftSizes_

std::map<RiskFactorKey, QuantLib::Real> targetShiftSizes_

private

Definition at line 156 of file sensitivitycube.hpp.

◆ actualShiftSizes_

std::map<RiskFactorKey, QuantLib::Real> actualShiftSizes_

private

Definition at line 157 of file sensitivitycube.hpp.

◆ shiftSchemes_

std::map<RiskFactorKey, ShiftScheme> shiftSchemes_

private

Definition at line 158 of file sensitivitycube.hpp.

◆ factors_

std::set<RiskFactorKey> factors_

private

Definition at line 162 of file sensitivitycube.hpp.

◆ tradeIdx_

std::map<std::string, QuantLib::Size> tradeIdx_

private

Definition at line 166 of file sensitivitycube.hpp.

◆ scenarioIdx_

std::map<ShiftScenarioDescription, QuantLib::Size> scenarioIdx_

private

Definition at line 167 of file sensitivitycube.hpp.

◆ upFactors_

std::map<RiskFactorKey, FactorData> upFactors_

private

Definition at line 169 of file sensitivitycube.hpp.

◆ downFactors_

std::map<RiskFactorKey, FactorData> downFactors_

private

Definition at line 169 of file sensitivitycube.hpp.

◆ crossFactors_

std::map<crossPair, std::tuple<FactorData, FactorData, QuantLib::Size> > crossFactors_

private

Definition at line 172 of file sensitivitycube.hpp.

◆ upIndexToKey_

std::map<QuantLib::Size, RiskFactorKey> upIndexToKey_

private

Definition at line 175 of file sensitivitycube.hpp.

◆ downIndexToKey_

std::map<QuantLib::Size, RiskFactorKey> downIndexToKey_

private

Definition at line 176 of file sensitivitycube.hpp.

◆ crossIndexToKey_

std::map<QuantLib::Size, crossPair> crossIndexToKey_

private

Definition at line 177 of file sensitivitycube.hpp.

Classes

Public Types

Public Member Functions

Inspectors

Detailed Description

Member Typedef Documentation

◆ crossPair

◆ ShiftScenarioDescription

Constructor & Destructor Documentation

◆ SensitivityCube() [1/2]

◆ SensitivityCube() [2/2]

Member Function Documentation

◆ npvCube()

◆ scenarioDescriptions()

◆ hasTrade()

◆ tradeIdx()

◆ upDownFactor()

◆ crossFactor()

◆ hasScenario()

◆ factorDescription()

◆ factors()

◆ upFactors()

◆ downFactors()

◆ crossFactors()

◆ targetShiftSize()

◆ actualShiftSize()

◆ shiftScheme()

◆ npv() [1/2]

◆ npv() [2/2]

◆ delta() [1/2]

◆ delta() [2/2]

◆ gamma() [1/2]

◆ gamma() [2/2]

◆ crossGamma() [1/3]

◆ crossGamma() [2/3]

◆ crossGamma() [3/3]

◆ relevantRiskFactors()

◆ initialise()

Member Data Documentation

◆ cube_

◆ scenarioDescriptions_

◆ targetShiftSizes_

◆ actualShiftSizes_

◆ shiftSchemes_

◆ factors_

◆ tradeIdx_

◆ scenarioIdx_

◆ upFactors_

◆ downFactors_

◆ crossFactors_

◆ upIndexToKey_

◆ downIndexToKey_

◆ crossIndexToKey_