SensitivityReportStream Class Reference

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

#include <orea/engine/sensitivityreportstream.hpp>

Inheritance diagram for SensitivityReportStream:

Collaboration diagram for SensitivityReportStream:

Public Member Functions
	SensitivityReportStream (const QuantLib::ext::shared_ptr< ore::data::InMemoryReport > &report)
	Constructor. More...
virtual	~SensitivityReportStream ()
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< ore::data::Report::ReportType > &entries) const
	Create a record from a collection of strings. More...

Private Attributes
QuantLib::ext::shared_ptr< ore::data::InMemoryReport >	report_
QuantLib::Size	row_ = 0

Detailed Description

Class for streaming SensitivityRecords from csv file.

Definition at line 35 of file sensitivityreportstream.hpp.

Constructor & Destructor Documentation

SensitivityReportStream()

SensitivityReportStream

(

const QuantLib::ext::shared_ptr< ore::data::InMemoryReport > &

report

)

Constructor.

Definition at line 38 of file sensitivityreportstream.hpp.

: report_(report) {}

~SensitivityReportStream()

virtual ~SensitivityReportStream ( )

virtual

Definition at line 39 of file sensitivityreportstream.hpp.

{} // Declare virtual destructor

Member Function Documentation

next()

SensitivityRecord next ( )

overridevirtual

Returns the next SensitivityRecord in the stream.

Implements SensitivityStream.

Definition at line 37 of file sensitivityreportstream.cpp.

                                                {
    row_++;
    if (row_ <= report_->rows()) {
        vector<Report::ReportType> entries;
        for (Size i = 0; i < report_->columns(); i++) {
            entries.push_back(report_->data(i).at(row_ - 1));
        }
        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 51 of file sensitivityreportstream.cpp.

                                    {
    row_ = 0;
}

processRecord()

SensitivityRecord processRecord ( const std::vector< ore::data::Report::ReportType > &  entries ) const

private

Create a record from a collection of strings.

Definition at line 55 of file sensitivityreportstream.cpp.

                                                                                                      {
 
    QL_REQUIRE(entries.size() == 10, "On row number " << row_ << ": A sensitivity record needs 10 entries");
 
    SensitivityRecord sr;
    sr.tradeId = QuantLib::ext::get<std::string>(entries[0]);
    sr.isPar = parseBool(QuantLib::ext::get<std::string>(entries[1]));
 
    auto p = deconstructFactor(QuantLib::ext::get<std::string>(entries[2]));
    sr.key_1 = p.first;
    sr.desc_1 = p.second;
    sr.shift_1 = QuantLib::ext::get<Real>(entries[3]);
 
    p = deconstructFactor(QuantLib::ext::get<std::string>(entries[4]));
    sr.key_2 = p.first;
    sr.desc_2 = p.second;
    sr.shift_2 = QuantLib::ext::get<Real>(entries[5]);
 
    sr.currency = QuantLib::ext::get<std::string>(entries[6]);
    sr.baseNpv = QuantLib::ext::get<Real>(entries[7]);
    sr.delta = QuantLib::ext::get<Real>(entries[8]);
    sr.gamma = QuantLib::ext::get<Real>(entries[9]);
 
    return sr;
}

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Member Data Documentation

report_

QuantLib::ext::shared_ptr<ore::data::InMemoryReport> report_

private

Definition at line 47 of file sensitivityreportstream.hpp.

row_

QuantLib::Size row_ = 0

private

Definition at line 49 of file sensitivityreportstream.hpp.