NPVCube Class Reference

NPV Cube class stores both future and current NPV values. More...

#include <orea/cube/npvcube.hpp>

Inheritance diagram for NPVCube:

Public Member Functions
	NPVCube ()
	default ctor
	NPVCube (NPVCube &)=delete
	Do not allow cube copying.
NPVCube &	operator= (NPVCube const &)=delete
virtual	~NPVCube ()
	dtor
virtual Size	numIds () const =0
	Return the length of each dimension.
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.
const std::set< std::string >	ids () const
	Get a set of all ids in the cube.
virtual const std::vector< QuantLib::Date > &	dates () const =0
	Get the vector of dates for this cube.
virtual QuantLib::Date	asof () const =0
	Return the asof date (T0 date)
virtual Real	getT0 (Size id, Size depth=0) const =0
	Get a T0 value from the cube using index.
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, Size id, Size depth=0)=0
	Set a value in the cube using index.
virtual void	setT0 (Real value, const std::string &id, Size depth=0)
	Set a value in the cube using trade id.
virtual Real	get (Size id, Size date, Size sample, Size depth=0) const =0
	Get a value from the cube using index.
virtual void	set (Real value, Size id, Size date, Size sample, Size depth=0)=0
	Set a value in 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, const std::string &id, const QuantLib::Date &date, Size sample, Size depth=0)
	Set a value in the cube using trade id and date.
virtual void	remove (Size id)
virtual void	remove (Size id, Size sample)
Size	getTradeIndex (const std::string &id) const

Protected Member Functions
virtual Size	index (const std::string &id) const
virtual Size	index (const QuantLib::Date &date) const

Detailed Description

NPV Cube class stores both future and current NPV values.

The cube class stores future NPV values in a 4-D array.

This abstract base class is just used for the storage of a cube. This class also stores the tradeIds, dates and vector of T0 NPVs

The values in the cube must be set according to the following rules to ensure consistent behavior:

• T0 values need to be set first using setT0(), in arbitrary order for (id, date, sample, depth), not all possible tuples have to be covered
• after that the other values can be set using set(), again in arbitrary order for (id, date, sample, depth) and again not all possible tuples have to be covered
• for each tuple (id, date, sample, depth) setT0() and set() should only be called once

Member Function Documentation

remove() [1/2]

void remove ( Size  id )

virtual

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 in JointNPVSensiCube, and SensiCube< T >.

remove() [2/2]

void remove ( Size  id, Size  sample  )

virtual

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

Reimplemented in JointNPVSensiCube, and SensiCube< T >.