JointNPVSensiCube Class Reference

Inheritance diagram for JointNPVSensiCube:

Public Member Functions
	JointNPVSensiCube (const boost::shared_ptr< NPVSensiCube > &cube1, const boost::shared_ptr< NPVSensiCube > &cube2, const std::set< std::string > &ids={})
	JointNPVSensiCube (const std::vector< boost::shared_ptr< NPVSensiCube >> &cubes, const std::set< std::string > &ids={})
Size	numIds () const override
	Return the length of each dimension.
Size	numDates () const override
Size	samples () const override
Size	depth () const override
const std::map< std::string, Size > &	idsAndIndexes () const override
	Get a map of id and their index position in this cube.
const std::vector< QuantLib::Date > &	dates () const override
	Get the vector of dates for this cube.
QuantLib::Date	asof () const override
	Return the asof date (T0 date)
Real	getT0 (Size id, Size depth=0) const override
	Get a T0 value from the cube using index.
void	setT0 (Real value, Size id, Size depth=0) override
	Set a value in the cube using index.
Real	get (Size id, Size date, Size sample, Size depth=0) const override
	Get a value from the cube using index.
void	set (Real value, Size id, Size date, Size sample, Size depth=0) override
	Set a value in the cube using index.
std::map< QuantLib::Size, QuantLib::Real >	getTradeNPVs (Size tradeIdx) const override
std::set< QuantLib::Size >	relevantScenarios () const override
void	remove (Size id) override
void	remove (Size id, Size sample) override
Public Member Functions inherited from NPVSensiCube
QuantLib::Size	numDates () const override
	Number of dates in the NPVSensiCube is exactly one i.e. the as of date.
QuantLib::Size	depth () const override
	The depth in the NPVSensiCube is exactly one.
Real	get (QuantLib::Size id, QuantLib::Size sample) const
	Convenience method to get a value from the cube using id and sample only.
Real	get (const std::string &id, QuantLib::Size sample) const
	Convenience method to get a value from the cube using id and sample only.
void	set (QuantLib::Real value, QuantLib::Size id, QuantLib::Size sample)
	Convenience method to set a value in the cube using id and sample only.
void	set (QuantLib::Real value, const std::string &id, QuantLib::Size sample)
	Convenience method to set a value in the cube using id and sample only.
Size	getTradeIndex (const std::string &tradeId) const
	Return the index of the trade in the cube.
std::map< QuantLib::Size, QuantLib::Real >	getTradeNPVs (const std::string &tradeId) const
virtual Real	get (Size id, Size date, Size sample, Size depth=0) const=0
	Get a value from the cube using index.
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.
virtual void	set (Real value, Size id, Size date, Size sample, Size depth=0)=0
	Set a value in the cube using index.
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.
Public Member Functions inherited from NPVCube
	NPVCube ()
	default ctor
	NPVCube (NPVCube &)=delete
	Do not allow cube copying.
NPVCube &	operator= (NPVCube const &)=delete
virtual	~NPVCube ()
	dtor
const std::set< std::string >	ids () const
	Get a set of all ids in the cube.
virtual Real	getT0 (const std::string &id, Size depth=0) const
	Get a T0 value from the cube using trade id.
virtual void	setT0 (Real value, const std::string &id, Size depth=0)
	Set a value in the cube using trade id.
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.
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.
Size	getTradeIndex (const std::string &id) const

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

Constructor & Destructor Documentation

JointNPVSensiCube() [1/2]

JointNPVSensiCube	(	const boost::shared_ptr< NPVSensiCube > &	cube1,
		const boost::shared_ptr< NPVSensiCube > &	cube2,
		const std::set< std::string > &	ids = {}
	)

ctor for two input cubes

JointNPVSensiCube() [2/2]

JointNPVSensiCube	(	const std::vector< boost::shared_ptr< NPVSensiCube >> &	cubes,
		const std::set< std::string > &	ids = {}
	)

ctor for n input cubes If no ids are given, the ids in the input cubes define theids in the resulting cube, the ids must be unique in this case. If ids are given they define the ids in the output cube.

Member Function Documentation

getTradeNPVs()

std::map<QuantLib::Size, QuantLib::Real> getTradeNPVs ( Size  tradeIdx ) const

overridevirtual

Return a map for the trade ID at index tradeIdx where the map key is the index of the risk factor shift and the map value is the NPV under that shift

Implements NPVSensiCube.

relevantScenarios()

std::set<QuantLib::Size> relevantScenarios ( ) const

overridevirtual

Return the set of scenario indices with non-zero result

Implements NPVSensiCube.

remove() [1/2]

void remove ( Size  id )

overridevirtual

remove all values for a given id, i.e. change the state as if setT0() and set() has never been called for the id the default implementation has generelly to be overriden in derived classes depending on how values are stored

Reimplemented from NPVCube.

remove() [2/2]

void remove ( Size  id, Size  sample  )

overridevirtual

simliar as above, but remove all values for a given id and scenario and keep T0 values

Reimplemented from NPVCube.