SensitivityInputStream Class Reference

Class for streaming SensitivityRecords from csv file. More...

#include <orea/engine/sensitivityfilestream.hpp>

Inheritance diagram for SensitivityInputStream:

Collaboration diagram for SensitivityInputStream:

Public Member Functions
	SensitivityInputStream (char delim=',', const std::string &comment="#")
	Constructor. More...
virtual	~SensitivityInputStream ()
void	setStream (std::istream *stream)
SensitivityRecord	next () override
	Returns the next SensitivityRecord in the stream. More...
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
SensitivityRecord	processRecord (const std::vector< std::string > &entries) const
	Create a record from a collection of strings. More...

Private Attributes
std::istream *	stream_
	Handle on the stram. More...
char	delim_
	Csv file delimiter. More...
std::string	comment_
	Csv file comment string. More...
QuantLib::Size	lineNo_
	Keep track of line number for messages. More...

Detailed Description

Class for streaming SensitivityRecords from csv file.

Definition at line 34 of file sensitivityfilestream.hpp.

Constructor & Destructor Documentation

SensitivityInputStream()

SensitivityInputStream	(	char	delim = ',',
		const std::string &	comment = "#"
	)

Constructor.

Definition at line 37 of file sensitivityfilestream.hpp.

        : delim_(delim), comment_(comment), lineNo_(0) {}

~SensitivityInputStream()

virtual ~SensitivityInputStream ( )

virtual

Definition at line 39 of file sensitivityfilestream.hpp.

{} // Declare virtual destructor

Member Function Documentation

setStream()

void setStream

(

std::istream *

stream

)

Set stream for function

Definition at line 37 of file sensitivityfilestream.cpp.

                                                         { 
    stream_ = stream; 
}

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next()

SensitivityRecord next ( )

overridevirtual

Returns the next SensitivityRecord in the stream.

Implements SensitivityStream.

Definition at line 41 of file sensitivityfilestream.cpp.

                                               {
    // Get the next valid SensitivityRecord
    string line;
    while (getline(*stream_, line)) {
        // Update the current line number
        ++lineNo_;
 
        // Trim leading and trailing space
        boost::trim(line);
 
        // If line is empty or a comment line, skip to next
        if (line.empty() || boost::starts_with(line, comment_))
            continue;
 
        // Try to parse line in to a SensitivityRecord
        DLOG("Processing line number " << lineNo_ << ": " << line);
        vector<string> entries;
        boost::split(
            entries, line, [this](char c) { return c == delim_; }, boost::token_compress_off);
        return processRecord(entries);
    }
 
    // If we get to here, no more lines to process so return empty record
    return SensitivityRecord();
}

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reset()

void reset ( )

overridevirtual

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

Implements SensitivityStream.

Definition at line 67 of file sensitivityfilestream.cpp.

                                   {
    // Reset to beginning of file and line number
    stream_->clear();
    stream_->seekg(0, std::ios::beg);
    lineNo_ = 0;
}

processRecord()

SensitivityRecord processRecord ( const std::vector< std::string > &  entries ) const

private

Create a record from a collection of strings.

Definition at line 74 of file sensitivityfilestream.cpp.

                                                                                           {
 
    QL_REQUIRE(entries.size() == 10, "On line number " << lineNo_ << ": A sensitivity record needs 10 entries");
 
    SensitivityRecord sr;
    sr.tradeId = entries[0];
    sr.isPar = parseBool(entries[1]);
 
    auto p = deconstructFactor(entries[2]);
    sr.key_1 = p.first;
    sr.desc_1 = p.second;
    tryParseReal(entries[3], sr.shift_1);
 
    p = deconstructFactor(entries[4]);
    sr.key_2 = p.first;
    sr.desc_2 = p.second;
    tryParseReal(entries[5], sr.shift_2);
 
    sr.currency = entries[6];
    sr.baseNpv = parseReal(entries[7]);
    sr.delta = parseReal(entries[8]);
    tryParseReal(entries[9], sr.gamma); // might be #N/A, if not computed
 
    return sr;
}

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Member Data Documentation

stream_

std::istream* stream_

private

Handle on the stram.

Definition at line 50 of file sensitivityfilestream.hpp.

delim_

char delim_

private

Csv file delimiter.

Definition at line 52 of file sensitivityfilestream.hpp.

comment_

std::string comment_

private

Csv file comment string.

Definition at line 54 of file sensitivityfilestream.hpp.

lineNo_

QuantLib::Size lineNo_

private

Keep track of line number for messages.

Definition at line 56 of file sensitivityfilestream.hpp.