ZeroToParCube Class Reference

ZeroToParCube class. More...

#include <orea/engine/zerotoparcube.hpp>

Public Member Functions
	ZeroToParCube (const QuantLib::ext::shared_ptr< ore::analytics::SensitivityCube > &zeroCube, const QuantLib::ext::shared_ptr< ParSensitivityConverter > &parConverter, const std::set< ore::analytics::RiskFactorKey::KeyType > &typesDisabled={}, const bool continueOnError=false)
	Constructor.
	ZeroToParCube (const std::vector< QuantLib::ext::shared_ptr< ore::analytics::SensitivityCube >> &zeroCubes, const QuantLib::ext::shared_ptr< ParSensitivityConverter > &parConverter, const std::set< ore::analytics::RiskFactorKey::KeyType > &typesDisabled={}, const bool continueOnError=false)
	Another Constructor!
const std::vector< QuantLib::ext::shared_ptr< ore::analytics::SensitivityCube > > &	zeroCubes () const
	Inspectors. More...
const QuantLib::ext::shared_ptr< ParSensitivityConverter > &	parConverter () const
	Par converter object.
const std::set< ore::analytics::RiskFactorKey::KeyType > &	typesDisabled () const
	The par risk factor types that are disabled for this instance of ZeroToParCube.
std::map< ore::analytics::RiskFactorKey, QuantLib::Real >	parDeltas (const std::string &tradeId) const
	Return the non-zero par deltas for the given tradeId.
std::map< ore::analytics::RiskFactorKey, QuantLib::Real >	parDeltas (QuantLib::Size cubeIdx, QuantLib::Size tradeIdx) const
	Return the non-zero par deltas for the given cube and trade index.

Detailed Description

ZeroToParCube class.

Takes a cube of zero sensitivities, a par sensitivity converter and can return the par deltas for a given trade ID from the cube.

Member Function Documentation

zeroCubes()

const std::vector<QuantLib::ext::shared_ptr<ore::analytics::SensitivityCube> >& zeroCubes

(

)

const

Inspectors.

Underlying zero sensitivity cubes