#include <orea/cube/sparsenpvcube.hpp>

Inheritance diagram for SparseNpvCube< T >:

Collaboration diagram for SparseNpvCube< T >:

Public Member Functions
	SparseNpvCube ()

	SparseNpvCube (const Date &asof, const std::set< std::string > &ids, const std::vector< Date > &dates, Size samples, Size depth, const T &t=T())

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

Size	numDates () const override

Size	samples () const override

Size	depth () const override

Date	asof () const override
	Return the asof date (T0 date) More...

const std::map< std::string, Size > &	idsAndIndexes () const override
	Get a map of id and their index position in this cube. More...

const std::vector< QuantLib::Date > &	dates () const override
	Get the vector of dates for this cube. More...

Real	getT0 (Size i, Size d) const override
	Get a T0 value from the cube using index. More...

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

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

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

Private Member Functions
void	check (Size i, Size j, Size k, Size d) const

Size	pos (Size i, Size j, Size d) const

Private Attributes
QuantLib::Date	asof_

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

std::vector< QuantLib::Date >	dates_

Size	samples_

Size	depth_

std::map< Size, std::vector< T > >	data_

Additional Inherited Members
Protected Member Functions inherited from NPVCube
virtual Size	index (const std::string &id) const

virtual Size	index (const QuantLib::Date &date) const

Detailed Description

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

Definition at line 36 of file sparsenpvcube.hpp.

Constructor & Destructor Documentation

◆ SparseNpvCube() [1/2]

template SparseNpvCube ( )

Definition at line 33 of file sparsenpvcube.cpp.

33{}

◆ SparseNpvCube() [2/2]

SparseNpvCube	(	const Date &	asof,
		const std::set< std::string > &	ids,
		const std::vector< Date > &	dates,
		Size	samples,
		Size	depth,
		const T &	t = `T()`
	)

Definition at line 36 of file sparsenpvcube.cpp.

    : asof_(asof), dates_(dates), samples_(samples), depth_(depth) {
    QL_REQUIRE(ids.size() > 0, "SparseNpvCube::SparseNpvCube no ids specified");
    QL_REQUIRE(dates.size() > 0, "SparseNpvCube::SparseNpvCube no dates specified");
    QL_REQUIRE(samples > 0, "SparseNpvCube::SparseNpvCube samples must be > 0");
    QL_REQUIRE(depth > 0, "SparseNpvCube::SparseNpvCube depth must be > 0");
    Size check = std::numeric_limits<Size>::max();
    check /= ids.size();
    check /= dates.size();
    check /= depth;
    QL_REQUIRE(check >= 1, "SparseNpvCube::SparseNpvCube: total size exceeded: ids ("
                               << ids_.size() << ") * dates (" << dates.size() << ") * depth (" << depth << ") > "
                               << std::numeric_limits<Size>::max());
    Size pos = 0;
    for (const auto& id : ids) {
        ids_[id] = pos++;
    }
}

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Member Function Documentation

◆ numIds()

template Size numIds ( ) const

overridevirtual

Return the length of each dimension.

Implements NPVCube.

Definition at line 56 of file sparsenpvcube.cpp.

56{ return ids_.size(); }

◆ numDates()

template Size numDates ( ) const

overridevirtual

Implements NPVCube.

Definition at line 57 of file sparsenpvcube.cpp.

57{ return dates_.size(); }

◆ samples()

template Size samples ( ) const

overridevirtual

Implements NPVCube.

Definition at line 58 of file sparsenpvcube.cpp.

58{ return samples_; }

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◆ depth()

template Size depth ( ) const

overridevirtual

Implements NPVCube.

Definition at line 59 of file sparsenpvcube.cpp.

59{ return depth_; }

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◆ asof()

template Date asof ( ) const

overridevirtual

Return the asof date (T0 date)

Implements NPVCube.

Definition at line 60 of file sparsenpvcube.cpp.

60{ return asof_; }

◆ idsAndIndexes()

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

overridevirtual

Get a map of id and their index position in this cube.

Implements NPVCube.

Definition at line 61 of file sparsenpvcube.cpp.

61{ return ids_; }

◆ dates()

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

overridevirtual

Get the vector of dates for this cube.

Implements NPVCube.

Definition at line 62 of file sparsenpvcube.cpp.

62{ return dates_; }

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◆ getT0()

template Real getT0	(	Size	id,
		Size	depth
	)		const

overridevirtual

Get a T0 value from the cube using index.

Implements NPVCube.

Definition at line 68 of file sparsenpvcube.cpp.

                                                                       {
    this->check(i, 0, 0, d);
    auto v = data_.find(pos(i, 0, d));
    if (v != data_.end())
        return static_cast<Real>(v->second[0]);
    else
        return static_cast<Real>(0.0);
}

◆ setT0()

template void setT0	(	Real	value,
		Size	id,
		Size	depth
	)

overridevirtual

Set a value in the cube using index.

Implements NPVCube.

Definition at line 77 of file sparsenpvcube.cpp.

                                                                             {
    this->check(i, 0, 0, d);
    if (QuantLib::close_enough(value, 0.0))
        return;
    data_[pos(i, 0, d)] = std::vector<T>(1, static_cast<T>(value));
}

◆ get()

template Real get	(	Size	id,
		Size	date,
		Size	sample,
		Size	depth
	)		const

overridevirtual

Get a value from the cube using index.

Implements NPVCube.

Definition at line 84 of file sparsenpvcube.cpp.

                                                                                     {
    this->check(i, j, k, d);
    auto v = data_.find(pos(i, j + 1, d));
    if (v != data_.end())
        return static_cast<Real>(v->second[k]);
    else
        return static_cast<Real>(0.0);
}

◆ set()

template void set	(	Real	value,
		Size	id,
		Size	date,
		Size	sample,
		Size	depth
	)

overridevirtual

Set a value in the cube using index.

Implements NPVCube.

Definition at line 93 of file sparsenpvcube.cpp.

                                                                                           {
    this->check(i, j, k, d);
    if (QuantLib::close_enough(value, 0.0))
        return;
    auto v = data_.find(pos(i, j + 1, d));
    if (v != data_.end()) {
        v->second[k] = static_cast<T>(value);
    } else {
        std::vector<T> tmp(samples(), 0.0);
        tmp[k] = static_cast<T>(value);
        data_[pos(i, j + 1, d)] = tmp;
    }
}

◆ check()

template void check	(	Size	i,
		Size	j,
		Size	k,
		Size	d
	)		const

private

Definition at line 107 of file sparsenpvcube.cpp.

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

◆ pos()

template Size pos	(	Size	i,
		Size	j,
		Size	d
	)		const

private

Definition at line 64 of file sparsenpvcube.cpp.

                                                                             {
    return (i * (numDates() + 1) + j) * depth() + d;
}

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Member Data Documentation

◆ asof_

QuantLib::Date asof_

private

Definition at line 57 of file sparsenpvcube.hpp.

◆ ids_

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

private

Definition at line 58 of file sparsenpvcube.hpp.

◆ dates_

std::vector<QuantLib::Date> dates_

private

Definition at line 59 of file sparsenpvcube.hpp.

◆ samples_

Size samples_

private

Definition at line 60 of file sparsenpvcube.hpp.

◆ depth_

Size depth_

private

Definition at line 61 of file sparsenpvcube.hpp.

◆ data_

std::map<Size, std::vector<T> > data_

private

Definition at line 62 of file sparsenpvcube.hpp.

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ SparseNpvCube() [1/2]

◆ SparseNpvCube() [2/2]

Member Function Documentation

◆ numIds()

◆ numDates()

◆ samples()

◆ depth()

◆ asof()

◆ idsAndIndexes()

◆ dates()

◆ getT0()

◆ setT0()

◆ get()

◆ set()

◆ check()

◆ pos()

Member Data Documentation

◆ asof_

◆ ids_

◆ dates_

◆ samples_

◆ depth_

◆ data_