ZeroSensitivityLoader Class Reference

#include <orea/app/zerosensitivityloader.hpp>

Collaboration diagram for ZeroSensitivityLoader:

Classes
struct	ZeroSensitivity

Public Member Functions
	ZeroSensitivityLoader (const std::string &filename, const std::string &idColum="TradeId", const std::string &riskFactorColumn="Factor_1", const std::string &deltaColumn="Delta", const std::string &currencyColumn="Currency", const std::string &baseNpvColumn="Base NPV", const std::string &shiftSizeColumn="ShiftSize_1")
std::map< std::string, std::vector< ZeroSensitivity > >	sensitivities ()

Private Attributes
std::map< std::string, std::vector< ZeroSensitivity > >	sensitivities_

Detailed Description

Definition at line 32 of file zerosensitivityloader.hpp.

Constructor & Destructor Documentation

ZeroSensitivityLoader()

ZeroSensitivityLoader	(	const std::string &	filename,
		const std::string &	idColum = "TradeId",
		const std::string &	riskFactorColumn = "Factor_1",
		const std::string &	deltaColumn = "Delta",
		const std::string &	currencyColumn = "Currency",
		const std::string &	baseNpvColumn = "Base NPV",
		const std::string &	shiftSizeColumn = "ShiftSize_1"
	)

Definition at line 26 of file zerosensitivityloader.cpp.

                                                                               {
    ore::data::CSVFileReader reader(filename, true);
    // TODO: Check if all columns in file
    while (reader.next()) {
        QuantLib::Real shiftSize = QuantLib::Null<QuantLib::Real>();
        QuantLib::Real baseNpv = QuantLib::Null<QuantLib::Real>();
        QuantLib::Real delta = QuantLib::Null<QuantLib::Real>();
        std::string id = reader.get(idColumn);
        std::string key = reader.get(riskFactorColumn);
        std::string currency = reader.get(currencyColumn);
        bool validNpv = ore::data::tryParseReal(reader.get(baseNpvColumn), baseNpv);
        bool validDelta = ore::data::tryParseReal(reader.get(deltaColumn), delta);
        bool validShiftSize = ore::data::tryParseReal(reader.get(shiftSizeColumn), shiftSize);
        if (validDelta && validNpv && validShiftSize && !QuantLib::close_enough(delta, 0.0)) {
            sensitivities_[id].push_back({key, delta, currency, baseNpv, shiftSize});
        }
    }
}

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Member Function Documentation

sensitivities()

std::map< std::string, std::vector< ZeroSensitivity > > sensitivities

(

)

Definition at line 48 of file zerosensitivityloader.hpp.

{ return sensitivities_; }

Member Data Documentation

sensitivities_

std::map<std::string, std::vector<ZeroSensitivity> > sensitivities_

private

Definition at line 51 of file zerosensitivityloader.hpp.