SensiCube< T > Class Template Reference

SensiCube stores only npvs not equal to the base npvs. More...

#include <orea/cube/sensicube.hpp>

Inheritance diagram for SensiCube< T >:

Public Member Functions
	SensiCube (const std::set< std::string > &ids, const QuantLib::Date &asof, QuantLib::Size samples, const T &t=T())
QuantLib::Size	numIds () const override
	Return the length of each dimension.
QuantLib::Size	samples () const override
const std::map< std::string, Size > &	idsAndIndexes () const override
	Get the vector of ids for 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 i, Size) const override
	Get a T0 value from the cube.
void	setT0 (Real value, Size i, Size) override
	Set a value in the cube.
Real	get (Size i, Size j, Size k, Size) const override
	Get a value from the cube.
void	set (Real value, Size i, Size j, Size k, Size) override
	Set a value in the cube.
void	remove (Size i) override
void	remove (Size i, Size k) override
std::map< QuantLib::Size, QuantLib::Real >	getTradeNPVs (QuantLib::Size i) const override
std::set< QuantLib::Size >	relevantScenarios () const 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.
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 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

Protected Member Functions
void	check (QuantLib::Size i, QuantLib::Size j, QuantLib::Size k) const
Protected Member Functions inherited from NPVCube
virtual Size	index (const std::string &id) const
virtual Size	index (const QuantLib::Date &date) const

Protected Attributes
std::vector< T >	t0Data_
std::vector< std::map< QuantLib::Size, T > >	tradeNPVs_
std::set< QuantLib::Size >	relevantScenarios_

Detailed Description

template<typename T>
class ore::analytics::SensiCube< T >

SensiCube stores only npvs not equal to the base npvs.

Member Function Documentation

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.

relevantScenarios()

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

overridevirtual

Return the set of scenario indices with non-zero result

Implements NPVSensiCube.