CalibrationPointCache Class Reference

#include <ored/model/calibrationpointcache.hpp>

Collaboration diagram for CalibrationPointCache:

Public Member Functions
bool	hasChanged (const std::vector< std::vector< Real > > &curveTimes, const std::vector< std::vector< Real > > &curveData, const std::vector< std::vector< std::pair< Real, Real > > > &volTimesStrikes, const std::vector< std::vector< Real > > &volData, const bool updateCache)

Private Attributes
Date	referenceDate_
std::vector< std::vector< Real > >	curveTimes_
std::vector< std::vector< std::pair< Real, Real > > >	volTimesStrikes_
std::vector< std::vector< Real > >	curveData_
std::vector< std::vector< Real > >	volData_

Detailed Description

Definition at line 35 of file calibrationpointcache.hpp.

Member Function Documentation

hasChanged()

bool hasChanged	(	const std::vector< std::vector< Real > > &	curveTimes,
		const std::vector< std::vector< Real > > &	curveData,
		const std::vector< std::vector< std::pair< Real, Real > > > &	volTimesStrikes,
		const std::vector< std::vector< Real > > &	volData,
		const bool	updateCache
	)

Definition at line 26 of file calibrationpointcache.cpp.

                                                                                                          {
 
    bool dirty = false;
 
    // check for changes in the times/strikes or data
 
    dirty = dirty || curveTimes.size() != curveTimes_.size();
    dirty = dirty || curveData.size() != curveData_.size();
    dirty = dirty || volTimesStrikes.size() != volTimesStrikes_.size();
    dirty = dirty || volData.size() != volData_.size();
 
    for (Size i = 0; i < curveTimes.size() && !dirty; ++i) {
        dirty = dirty || (curveTimes[i].size() != curveTimes_[i].size());
        for (Size j = 0; j < curveTimes[i].size() && !dirty; ++j) {
            dirty = dirty || curveTimes[i][j] != curveTimes_[i][j];
        }
    }
 
    for (Size i = 0; i < curveData.size() && !dirty; ++i) {
        dirty = dirty || (curveData[i].size() != curveData_[i].size());
        for (Size j = 0; j < curveData[i].size() && !dirty; ++j) {
            dirty = dirty || curveData[i][j] != curveData_[i][j];
        }
    }
 
    for (Size i = 0; i < volTimesStrikes.size() && !dirty; ++i) {
        dirty = dirty || (volTimesStrikes[i].size() != volTimesStrikes_[i].size());
        for (Size j = 0; j < volTimesStrikes[i].size() && !dirty; ++j) {
            dirty = dirty || volTimesStrikes[i][j].first != volTimesStrikes_[i][j].first;
            dirty = dirty || volTimesStrikes[i][j].second != volTimesStrikes_[i][j].second;
        }
    }
 
    for (Size i = 0; i < volData.size() && !dirty; ++i) {
        dirty = dirty || (volData[i].size() != volData_[i].size());
        for (Size j = 0; j < volData[i].size() && !dirty; ++j) {
            dirty = dirty || volData[i][j] != volData_[i][j];
        }
    }
 
    // if dirty update reference results if requested
 
    if (dirty && updateCache) {
        curveTimes_ = curveTimes;
        curveData_ = curveData;
        volTimesStrikes_ = volTimesStrikes;
        volData_ = volData;
    }
 
    return dirty;
}

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Member Data Documentation

referenceDate_

Date referenceDate_

private

Definition at line 42 of file calibrationpointcache.hpp.

curveTimes_

std::vector<std::vector<Real> > curveTimes_

private

Definition at line 43 of file calibrationpointcache.hpp.

volTimesStrikes_

std::vector<std::vector<std::pair<Real, Real> > > volTimesStrikes_

private

Definition at line 44 of file calibrationpointcache.hpp.

curveData_

std::vector<std::vector<Real> > curveData_

private

Definition at line 45 of file calibrationpointcache.hpp.

volData_

std::vector<std::vector<Real> > volData_

private

Definition at line 45 of file calibrationpointcache.hpp.