Reference manual - version orea_version
SensitivityCube is a wrapper for an npvCube that gives easier access to the underlying cube elements. More...
#include <orea/cube/sensitivitycube.hpp>
Classes | |
| struct | FactorData |
Public Types | |
| typedef std::pair< RiskFactorKey, RiskFactorKey > | crossPair |
| typedef ShiftScenarioGenerator::ScenarioDescription | ShiftScenarioDescription |
Public Member Functions | |
| SensitivityCube (const boost::shared_ptr< NPVSensiCube > &cube, const std::vector< ShiftScenarioDescription > &scenarioDescriptions, const std::map< RiskFactorKey, QuantLib::Real > &shiftSizes, const std::set< RiskFactorKey::KeyType > &twoSidedDeltas={}) | |
| Constructor using a vector of scenario descriptions. | |
| SensitivityCube (const boost::shared_ptr< NPVSensiCube > &cube, const std::vector< std::string > &scenarioDescriptions, const std::map< RiskFactorKey, QuantLib::Real > &shiftSizes, const std::set< RiskFactorKey::KeyType > &twoSidedDeltas={}) | |
| Constructor using a vector of scenario description strings. | |
Inspectors | |
| const boost::shared_ptr< NPVSensiCube > & | npvCube () const |
| const std::vector< ShiftScenarioDescription > & | scenarioDescriptions () const |
| bool | hasTrade (const std::string &tradeId) const |
Check if the cube has scenario NPVs for trade with ID tradeId. | |
| const std::map< std::string, QuantLib::Size > & | tradeIdx () const |
| Return the map of up trade id's to index in cube. | |
| RiskFactorKey | upFactor (const Size upIndex) const |
| RiskFactorKey | downFactor (const Size downIndex) const |
| crossPair | crossFactor (const Size crossIndex) const |
| bool | hasScenario (const ShiftScenarioDescription &scenarioDescription) const |
Check if the cube has scenario NPVs for scenario with description scenarioDescription. | |
| std::string | factorDescription (const RiskFactorKey &riskFactorKey) const |
| const std::set< RiskFactorKey > & | factors () const |
| Returns the set of risk factor keys for which a delta and gamma can be calculated. | |
| const std::map< RiskFactorKey, SensitivityCube::FactorData > & | upFactors () const |
| Return the map of up risk factors to its factor data. | |
| const std::map< RiskFactorKey, SensitivityCube::FactorData > & | downFactors () const |
| Return the map of down risk factors to its factor data. | |
| const std::map< crossPair, std::tuple< SensitivityCube::FactorData, SensitivityCube::FactorData, QuantLib::Size > > & | crossFactors () const |
| Returns the set of pairs of risk factor keys for which a cross gamma is available. | |
| QuantLib::Real | shiftSize (const RiskFactorKey &riskFactorKey) const |
Returns the absolute shift size for given risk factor key. | |
| QuantLib::Real | npv (const std::string &tradeId) const |
Get the base NPV for trade with ID tradeId. | |
| QuantLib::Real | npv (const std::string &tradeId, const ShiftScenarioDescription &scenarioDescription) const |
Get the NPV with scenario description scenarioDescription for trade with ID tradeId. | |
| QuantLib::Real | npv (QuantLib::Size id) const |
| Get the NPV for trade given the index of trade in the cube. | |
| QuantLib::Real | npv (QuantLib::Size id, QuantLib::Size scenarioIdx) const |
| Get the NPV for trade given the index of trade and scenario in the cube. | |
| QuantLib::Real | delta (const std::string &tradeId, const RiskFactorKey &riskFactorKey) const |
Get the trade delta for trade with ID tradeId and for the given risk factor key riskFactorKey. | |
| QuantLib::Real | delta (QuantLib::Size id, QuantLib::Size scenarioIdx) const |
| Get the trade delta for trade given the index of trade and risk factors in the cube. | |
| QuantLib::Real | delta (QuantLib::Size id, QuantLib::Size upIdx, QuantLib::Size downIdx) const |
| Get the two sided trade delta for trade given the index of trade and risk factors in the cube. | |
| QuantLib::Real | gamma (const std::string &tradeId, const RiskFactorKey &riskFactorKey) const |
Get the trade gamma for trade with ID tradeId and for the given risk factor key riskFactorKey. | |
| QuantLib::Real | gamma (QuantLib::Size id, QuantLib::Size upScenarioIdx, QuantLib::Size downScenarioIdx) const |
| Get the trade gamma for trade given the index of trade and risk factors in the cube. | |
| QuantLib::Real | crossGamma (const std::string &tradeId, const crossPair &riskFactorKeyPair) const |
| std::set< RiskFactorKey > | relevantRiskFactors () |
| Get the relevant risk factors. | |
| QuantLib::Real | crossGamma (QuantLib::Size id, QuantLib::Size upIdx_1, QuantLib::Size upIdx_2, QuantLib::Size crossIdx) const |
| Get the trade cross gamma for trade given the index of trade and risk factors in the cube. | |
| bool | twoSidedDelta (const RiskFactorKey::KeyType &keyType) const |
Check if a two sided delta has been configured for the given risk factor key type, keyType. | |
SensitivityCube is a wrapper for an npvCube that gives easier access to the underlying cube elements.
| RiskFactorKey upFactor | ( | const Size | upIndex | ) | const |
Return factor for given up scenario index or None if given index is not an up scenario (to be reviewed)
| RiskFactorKey downFactor | ( | const Size | downIndex | ) | const |
Return factor for given down scenario index or None if given index is not an down scenario (to be reviewed)
| crossPair crossFactor | ( | const Size | crossIndex | ) | const |
Return factor for given cross scenario index or None if given index is not a cross scenario (to be reviewed)
| std::string factorDescription | ( | const RiskFactorKey & | riskFactorKey | ) | const |
Get the description for the risk factor key riskFactorKey Returns the result of ShiftScenarioGenerator::ScenarioDescription::factor1()
| QuantLib::Real crossGamma | ( | const std::string & | tradeId, |
| const crossPair & | riskFactorKeyPair | ||
| ) | const |
Get the trade cross gamma for trade with ID tradeId and for the given risk factor key pair riskFactorKeyPair