SensitivityRecord Struct Reference

#include <orea/engine/sensitivityrecord.hpp>

Collaboration diagram for SensitivityRecord:

Public Member Functions
	SensitivityRecord ()
	SensitivityRecord (const std::string &tradeId, bool isPar, const RiskFactorKey &key_1, const std::string &desc_1, QuantLib::Real shift_1, const RiskFactorKey &key_2, const std::string &desc_2, QuantLib::Real shift_2, const std::string &currency, QuantLib::Real baseNpv, QuantLib::Real delta, QuantLib::Real gamma)
	Full ctor to allow braced initialisation. More...
bool	operator== (const SensitivityRecord &sr) const
bool	operator!= (const SensitivityRecord &sr) const
bool	operator< (const SensitivityRecord &sr) const
	operator bool () const
bool	isCrossGamma () const
	True if a SensitivityRecord is a cross gamma, otherwise false. More...

Public Attributes
std::string	tradeId
bool	isPar
RiskFactorKey	key_1
std::string	desc_1
QuantLib::Real	shift_1
RiskFactorKey	key_2
std::string	desc_2
QuantLib::Real	shift_2
std::string	currency
QuantLib::Real	baseNpv
QuantLib::Real	delta
QuantLib::Real	gamma

Detailed Description

A container for holding sensitivity records.

1. isPar is true for a par sensitivity, false for a zero sensitivity
2. the currency member is the currency of the baseNpv, delta and gamma
3. key_2 and desc_2 are empty except for cross gamma sensitivities
4. for cross gamma, the sensitivity is in the gamma member

Definition at line 38 of file sensitivityrecord.hpp.

Constructor & Destructor Documentation

SensitivityRecord() [1/2]

SensitivityRecord

(

)

Default ctor to prevent uninitialised variables Could use in class initialisation and avoid ctor but may be confusing

Definition at line 56 of file sensitivityrecord.hpp.

: isPar(false), shift_1(0.0), shift_2(0.0), baseNpv(0.0), delta(0.0), gamma(0.0) {}

SensitivityRecord() [2/2]

SensitivityRecord	(	const std::string &	tradeId,
		bool	isPar,
		const RiskFactorKey &	key_1,
		const std::string &	desc_1,
		QuantLib::Real	shift_1,
		const RiskFactorKey &	key_2,
		const std::string &	desc_2,
		QuantLib::Real	shift_2,
		const std::string &	currency,
		QuantLib::Real	baseNpv,
		QuantLib::Real	delta,
		QuantLib::Real	gamma
	)

Full ctor to allow braced initialisation.

Definition at line 59 of file sensitivityrecord.hpp.

        : tradeId(tradeId), isPar(isPar), key_1(key_1), desc_1(desc_1), shift_1(shift_1), key_2(key_2), desc_2(desc_2),
          shift_2(shift_2), currency(currency), baseNpv(baseNpv), delta(delta), gamma(gamma) {}

Member Function Documentation

operator==()

bool operator==

(

const SensitivityRecord &

sr

)

const

Comparison operators for SensitivityRecord

Definition at line 33 of file sensitivityrecord.cpp.

                                                                    {
    // Define in terms of operator<
    return !(*this < sr) && !(sr < *this);
}

operator!=()

bool operator!=

(

const SensitivityRecord &

sr

)

const

Definition at line 53 of file sensitivityrecord.cpp.

                                                                    {
    // Define in terms of operator==
    return !(*this == sr);
}

operator<()

bool operator<

(

const SensitivityRecord &

sr

)

const

Definition at line 38 of file sensitivityrecord.cpp.

                                                                   {
    // Verbose, would be nice to use std::tie but want to use close on the shifts
 
    if (key_1 != sr.key_1)
        return key_1 < sr.key_1;
 
    if (key_2 != sr.key_2)
        return key_2 < sr.key_2;
 
    if (tradeId != sr.tradeId)
        return tradeId < sr.tradeId;
 
    return false;
}

operator bool()

operator bool ( ) const

explicit

This method will be used to denote the end of a stream of SensitivityRecord objects.

Definition at line 58 of file sensitivityrecord.cpp.

                                       {
    // A SensitivityRecord is false if it is default initialised
    return *this != SensitivityRecord();
}

isCrossGamma()

bool isCrossGamma

(

)

const

True if a SensitivityRecord is a cross gamma, otherwise false.

Definition at line 63 of file sensitivityrecord.cpp.

{ return key_2 != RiskFactorKey(); }

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Member Data Documentation

tradeId

std::string tradeId

Definition at line 40 of file sensitivityrecord.hpp.

isPar

bool isPar

Definition at line 41 of file sensitivityrecord.hpp.

key_1

RiskFactorKey key_1

Definition at line 42 of file sensitivityrecord.hpp.

desc_1

std::string desc_1

Definition at line 43 of file sensitivityrecord.hpp.

shift_1

QuantLib::Real shift_1

Definition at line 44 of file sensitivityrecord.hpp.

key_2

RiskFactorKey key_2

Definition at line 45 of file sensitivityrecord.hpp.

desc_2

std::string desc_2

Definition at line 46 of file sensitivityrecord.hpp.

shift_2

QuantLib::Real shift_2

Definition at line 47 of file sensitivityrecord.hpp.

currency

std::string currency

Definition at line 48 of file sensitivityrecord.hpp.

baseNpv

QuantLib::Real baseNpv

mutable

Definition at line 49 of file sensitivityrecord.hpp.

delta

QuantLib::Real delta

mutable

Definition at line 50 of file sensitivityrecord.hpp.

gamma

QuantLib::Real gamma

mutable

Definition at line 51 of file sensitivityrecord.hpp.