Reference manual - version orea_version
NPVSensiCube class stores NPVs resulting from risk factor shifts on an as of date. More...
#include <orea/cube/npvsensicube.hpp>
Inheritance diagram for NPVSensiCube:Public Member Functions | |
| 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. | |
| virtual std::map< QuantLib::Size, QuantLib::Real > | getTradeNPVs (Size tradeIdx) const =0 |
| std::map< QuantLib::Size, QuantLib::Real > | getTradeNPVs (const std::string &tradeId) const |
| virtual std::set< QuantLib::Size > | relevantScenarios () const =0 |
| 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 | |
| virtual Size | numIds () const =0 |
| Return the length of each dimension. | |
| virtual Size | samples () 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 |
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 |
NPVSensiCube class stores NPVs resulting from risk factor shifts on an as of date.
This class is a restriction of the NPVCube to a grid of values where the ids are trade IDs and the samples are risk factor shifts
|
pure virtual |
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
Implemented in JointNPVSensiCube.
| std::map<QuantLib::Size, QuantLib::Real> getTradeNPVs | ( | const std::string & | tradeId | ) | const |
Return a map for the tradeId where the map key is the index of the risk factor shift and the map value is the NPV under that shift
|
pure virtual |
Return the set of scenario indices with non-zero result
Implemented in SensiCube< T >, and JointNPVSensiCube.
